st: within industry serial correlation

[Bülent Köksal <bkoksal@gmail.com>]

Dear Stata Users,

I have unbalanced yearly panel data for many firms with holes in the
time dimension. Assume that there are five industries.

How can I allow for within industry serial correlation?

As I understand from the help file,

.xtgls y x1 x2 x3, panels(c) corr(psar1)

specifies  heteroskedastic error structure with cross-sectional
correlation and  within panels, there is AR(1) autocorrelation and
that the coefficient of the AR(1) process is specific to each panel.

But it seems that this is for balanced panels.

Thanks for any help.

--
Bülent Köksal

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