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From | Ramona Meyricke <raem4@cam.ac.uk> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: 'xtgls' for panels that exceed matsize limit |
Date | 27 Nov 2011 21:43:58 +0000 |
'xtreg' works on this panel OK, but 'xtgls' and 'xtmg' do not work and return the error: "matsize too small - should be at least 10625". I am using STATA IC, so the max matsize I can get is 800. I tried bootstrapping with size(800) to try and get 'xtgls' and 'xtmg' working on a bootstrapped sample within a matsize limit of 800, but can't get this working. The command:
bootstrap, size(800) cluster(gvkey2) idcluster(newid) : xtgls y MktRF RF, i(newid)
returns the same error "matsize too small - should be at least 10625". (But I can get the same command working when I draw 800 IDs and run xtgls on the sub-sample generated by: bsample 800, cluster(gvkey2) idcluster(newID)).
Is it possible to get bootstrap working with xtgls with over 800 individuals? Or is there another way to run panel regressions controlling for cross-sectional dependence on this panel? (I have never programmed in MATA, so would like to stick to STATA if possible.)
Many Thanks, Ramona * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/