Dear Statalist, I am new to Stata and would like to ask for your help on the heterokedasticity issue:
1. I run xttest3 and find that heterokedasticity exist in my data. However, the author of the test suggests that we should take the test with great care when the data has large N and small T. My data has 730,000 obs over 12 year period (unbalanced). Are they considered small T? and if they are, is xttest3 suitable? it seems that "robvar" test does not allowed for panel.
2. Assume that my data exist the heterokedasticity problem, what type of xt model is suitable to correct this? xtreg..., fe seems not to allow for robust standard error. xtgls? or xtpcse?
3. I tried xtgls but they said matsize is too small. They suggests that matsize should be at least equal to the number of groups of firms in my data so I think they use fixed effects model. However, why does not it require large matsize when I run xtreg..., fe? what is the difference here?
Many thanks and hope to receive your advice soon,
Le
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