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st: Question on xtgls


From   "Bromiley, Philip" <bromiley@uci.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Question on xtgls
Date   Fri, 9 Dec 2011 10:38:21 -0800

I'm having a little trouble understanding xtgls.  The documentation (e.g., page 154 of Stata 12 XT manual) seems to make clear that it is not putting in fixed or random effects for panels but rather is just allowing a complex error structure within panels and across panels.

This seems like a different model that what we normally mean by panel estimators.  We normally want to allow the mean error to vary by panel (in the u(i,t) term).

However, it seems like xtgls retains the assumption that the mean error has expectation zero (with the exception of serial correlation), even though it allows the variance and so forth to vary by panel.

What am I missing?


Phil


Philip Bromiley
Dean's Professor of Strategic Management
Merage School of Business
University of California, Irvine
Irvine, CA  92697-3125
(949) 824-6657

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