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Re: R: st: Fixed Effects GLS regression

From   Christopher Baum <>
To   "<>" <>
Subject   Re: R: st: Fixed Effects GLS regression
Date   Sun, 16 Sep 2012 08:30:23 +0000

On Sep 16, 2012, at 7:33 AM, Cosimo

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

xttest3 is a test for groupwise heteroskedasticity in the errors of a panel, not at all for serial correlation within panels.

Kit Baum
author xttest3

Kit Baum   |   Boston College Economics & DIW Berlin   |
                             An Introduction to Stata Programming  |
  An Introduction to Modern Econometrics Using Stata  |

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