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Re: st: xtgls, xttest2, xttest3

From   Clive Nicholas <>
Subject   Re: st: xtgls, xttest2, xttest3
Date   Fri, 16 Apr 2010 17:01:09 +0100

Amin Mohseni wrote:

> I want to make sure my logic below is correct.
> First I am run xtgls with the option panels(correlated) which uses
> heteroskedastic and correlated error structure for computing the
> standard errors.
> Then I run xttest2 and xttest3 I reject the null for both tests
> (confirming that I have groupwise hetero and cross-panel correlation)
> Now I can trust the results from the xtgls,  panels(correlated)
> because xttest2 and xttest3 indeed point to groupwise hetero and
> cross-panel correlation) which I have included in my xtgls model.

So does running -xtreg, i(panelvar) fe robust-. Have you compared what
both these models tell you? Is N low? If so, -xtgls- estimates and
standard errors tend to be unreliable. Also, what do you find if you
run -xtpcse-? You should show your models using -estout-, then we can
all judge.

Clive Nicholas

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