Paula Garcia wrote:
> Does someone know about a command that takes into account at the same time
> fixed effects and heteroskedasticity across panels? I have used xtgls but
> as Allen rightly says it doesn't consider fixed effects. I know xtregar
> considers fixed effects and only autocorrelation within panels.
One solution is to use -areg- with the -robust- option. -areg- is a fixed
effects estimator and the -robust- option will produce heterokedastic
consistent standard errors.
Allen McDowell
[email protected]
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