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Re: R: st: Fixed Effects GLS regression
From
Christopher Baum <[email protected]>
To
"<[email protected]>" <[email protected]>
Subject
Re: R: st: Fixed Effects GLS regression
Date
Sun, 16 Sep 2012 08:30:23 +0000
<>
On Sep 16, 2012, at 7:33 AM, Cosimo
wrote:
>
> 1. First, you should run the serial correlation test (xttest3) after FE
> estimation.
> 2. Then, you should use the command xtgls.
xttest3 is a test for groupwise heteroskedasticity in the errors of a panel, not at all for serial correlation within panels.
Kit Baum
author xttest3
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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