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st: cross-sectional time series data


From   Kimberley Tran <ktran2@dal.ca>
To   statalist@hsphsun2.harvard.edu
Subject   st: cross-sectional time series data
Date   Sat, 6 Sep 2003 12:14:07 -0300

Greetings all,

 I would like to get suggestions concerning cross-sectional time series data.
My estimation model consists of 10 individual units, each sharing the same 
variables and for the same 19-year time period. Where I am confused is whether 
to consider this as Panel data or cross-sectional time series data. Certain 
literature treats Panel and cross-sectional time series as one in the same, 
while others indicate that they are not.
 Further complication is knowing which Stata commands to use.
Initially I ran this command 
. xtreg y x1 x2 x3 x4 x5 x6 x7, re
to test to see whether GLS is necessary or simple OLS will do for the 
estimation.

Secondly I ran 
. xttest0  
to discriminate against eitehr the Pool Model and the Random Effects Model and 
the results indicated pooled model was not appropriate.

I then ran the Hausman test in order to determine betweem the Random Effect 
Model or Fixed effects model:
. xthaus

The results indicated that the Fixed effects is appropriate.

Are these the right steps and commands to apply to cross-sectional time series 
data? Or should I use the xtgls or the xtgee commands?

I would greatly appreciate your suggestions in clarifying this confusion.

Thank you,
Kimberley

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