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R: st: Fixed Effects GLS regression


From   "c.magazzino@libero.it" <c.magazzino@libero.it>
To   <statalist@hsphsun2.harvard.edu>
Subject   R: st: Fixed Effects GLS regression
Date   Sat, 15 Sep 2012 19:41:35 +0200 (CEST)

1. First, you should run the serial correlation test (xttest3) after FE 
estimation.
2. Then, you should use the command xtgls.

Regards,

Cosimo Magazzino

>----Messaggio originale----
>Da: dheepan.5605@gmail.com
>Data: 13-set-2012 19.07
>A: <statalist@hsphsun2.harvard.edu>
>Ogg: st: Fixed Effects GLS regression
>
>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.
>
>regards,
>Dheepan Ratha Krishnan
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