Re: st: Fixed Effects Panel Regression with correlation between panels

[Tea Danelutti <Tea.Danelutti@etu.unil.ch>]

Hi Ash,

You can estimate fixed effects with "xtgls" by creating dummy variables
for each panel and then use the option "panel(corr)" in order to
account for the correlation across panels. This command automatically
corrects for heteroskedasticity across the panels, though.

Here's the command:

   xi: xtgls [dep.var] [expl.var] i.[panel variable], panel(corr)

Hope this helps,

Tea


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