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st: xtgls and residuals

From   Aruna Srinivasan <[email protected]>
To   [email protected]
Subject   st: xtgls and residuals
Date   Mon, 20 Oct 2003 05:51:02 -0700 (PDT)

Hi All!

I am estimating a panel data model with AR1
correlkation using the xtgls method. When I calculate
the mean of the residualss its expected value is a
very big number. This is what I did:

xtgls y dummy1 dummy2 dummy3 dummy4 dummy5 x1 x2 x3,
i(cntyloc) t(year) panels(hetero) corr(psar1)igls

predict yhat

gen e=y-yhat

sum e

What am I missing? Why am I getting the expected value
of e as not zero?


Aruna Srinivasan

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