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st: Two way Fixed Effects & Autocorrelation& Heteroskedasticity


From   kosak@gmx.de
To   statalist@hsphsun2.harvard.edu
Subject   st: Two way Fixed Effects & Autocorrelation& Heteroskedasticity
Date   Thu, 30 Mar 2006 18:11:15 +0200 (MEST)

My problem was already discussed before,but i didn`t found an appropriate
solution to it.-
I have a big panel data set (1500 observations over 20 years).I want to
estimate a model with time and group specific fixed effects (Hausman Test
performed). The Model suffers from autocorrelation and
heteroskedasticity.The problem is that the cluster option is not possible
for xtregar. Can i use xtgls or areg?As i understood xtgls estimates a
random effet model.
Any suggestions?
Max

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