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st: Panel data

From   "Ronnie Babigumira" <>
To   <>
Subject   st: Panel data
Date   Thu, 13 Feb 2003 16:20:36 +0100

Tom, I am thinking you want general information on panel data methods. I
once asked and got some recommendations for helpful texts. Here are some
comments that were made

"I would suggest Wooldridge, "Introductory Econometrics" or Verbeek, "A
guide to modern econometrics" (Wiley, 2000). They are both general texts but
with good sections on panel data, with example data that are available in
Stata format.

"Hardin and Hilbe (2003), "Generalized Estimating Equations", Chapman &
Hall/CRC Press. It's in print and covers numerous other types of panel data
situations. Most examples use Stata. James Hardin is the author of Stata's
xtgee command, as well as many other panel data commands. It can be found on
the Stata web site bookstore."

I have begun to read Econometric Analysis of Cross Section and Panel Data by
Jeffrey M. Wooldridge and it is a very good text. Stata datasets are
provided and u can look at some of the examples given

Hope this helps

-----Original Message-----
[]On Behalf Of tom blade
Sent: 13. februar 2003 11:56
Subject: Re:st:individual effects and heteroskedasticity

Dear all,

I also have the same question. I notice that not very much often questions
about panel data are answered. I would greatly wellcome your help on this


>I'm a new user of stata and have a doubt. I want to >incorporate individual
effects and heteroskedasticity >but xtgls does not allow for this. Would it
be a good >idea to xtdata, re and then use regress? (I have >checked between
fixed effects, random effects and >poolability and re is the best). I have
read that >xtdata is only for looking for the best model, not to >make
inference. If this is not a good idea, how could >I estimate a model with
individual effects and >heteroskedasticity?
>I would appreciate your help sincerely.
>Raul Gonzalez

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