Greetings,
I posted this question some time ago, without any reaction. Therefore, I
will try to make it clearer.
I am estimating a macroeconomic panel data model, and I am looking for an
estimator that accomodates both the within and the between dimensions.
Ideally, it should take into account correlated effects, as Chamberlain's
Minimum Distance estimator (1983, 1984) does. I know about the -correlated-
option of -xtgls-, but cannot use it since my panel is very unbalanced.
Balancing it would imply the loss of too many observations.
Not surprisingly, -xtgls, p(h)- and a fixed effects estimation give quite
different results, and I have the feeling I should go for something in
between. Does anybody have an idea if there is a middle ground here?
Thanks,
Markus Poschke
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