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st: xtregar


From   "Powers, Nicholas" <Nicholas.Powers@brattle.com>
To   "'statalist@hsphsun2.harvard.edu' (statalist@hsphsun2.harvard.edu)" <statalist@hsphsun2.harvard.edu>
Subject   st: xtregar
Date   Sat, 29 Oct 2011 16:30:20 -0400

Dear Statalisters,

I am wondering if, in the course of Stata's -xtregar- command, or some user-written routine, it is possible to obtain the Baltagi and Wu (1999) transformation of the data (the Baltagi and Li 1991 version would also work, as my dataset is a strongly balanced panel of 48 states over 32 years).  I understand that -xtregar- performs the transformation in the course of executing, and then runs OLS on the transformed data, but without the option to specify other variance options (i.e. robust, cluster, bootstrap).

I'd like to recover the transformed data so that I can run OLS and obtain more conservative estimates of the variance; while I understand that -xtregar- will remove any persistent autoregressive component in the error term as well as the unit-specific component of the residuals, it seems to me that there could still be heteroskedasticity across units or transitory correlation over time within units, so I'd like to re-run OLS with a more flexible variance structure.
 
Looking online and through Statalist has not helped as of yet.  Any help would be appreciated.  For reference, I have a balanced panel of 48 states over 32 years.

Nicholas E. Powers
Associate
 
The Brattle Group
1850 M Street NW, Suite 1200 | Washington, DC 20036 | United States
Main: +1.202.955.5050 | Fax: +1.202.955.5059 
Direct: +1.202.419.3369
Nicholas.Powers@brattle.com
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