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st: Re: xt regression with large n and small t (Was "How to deal with r(909) "op. sys. refuses to provide memory???")


From   "Seed, Paul" <paul.seed@kcl.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Re: xt regression with large n and small t (Was "How to deal with r(909) "op. sys. refuses to provide memory???")
Date   Tue, 11 Dec 2012 18:52:13 +0000

Dear Statalist, 
Dear Gordon Hughes, 

As someone who often has panel data with many more cases than time points
(anything from 10 times as many to 1,000 times as many), 
I would be very glad of some pointers to the "warnings" and "much better ways".


Many thanks 

Paul T Seed, Senior Lecturer in Medical Statistics, 
Division of Women's Health, King's College London
Women's Health Academic Centre, King's Health Partners 
(+44) (0) 20 7188 3642.

> From: Gordon Hughes <G.A.Hughes@ed.ac.uk>
> To: statalist@hsphsun2.harvard.edu
> Cc: 
> Sent: Sunday, 9 December 2012, 12:08
> Subject: Re: st: How to deal with r(909) "op. sys. refuses to provide  memory"??? xtgls
>
> You should also think very hard about whether it makes sense to use xtgls for this purpose.  There are all sorts of warnings, in Stata documentation and the  
> literature, about the reliability of xtgls in these circumstances.  Technical problems of the kind that you encountered are all too often an indication of a 
> poorly conceived model.
>
> With very large N and rather small T you cannot possibly obtain sensible estimates of either within panel autocorrelation or across panel correlation.  As a 
> consequence all you can estimate is a model with heteroskedastic panel errors.  There are much better ways in Stata of dealing with this than by using xtgls.
>
> Regards
>
> Gordon Hughes
> g.a.hughes@ed.ac.uk


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