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st: Fixed Effects GLS regression

From   Dheepan Ratha <>
Subject   st: Fixed Effects GLS regression
Date   Fri, 14 Sep 2012 03:07:53 +1000

Dear Statalist,

I am trying to run a standard fixed effects regression but I find that
there is serial correlation in the idiosyncratic errors. Wooldridge
(2002) suggests fixed effects GLS to correct for this but I am having
trouble running a FEGLS regression in Stata. Any advice on how to do
this withing Stata12 would be much appreciated.

Dheepan Ratha Krishnan
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