Hi,
I have a panel data set and would like to run a fixed
effect
regression (different constants for each panel)
accounting for
correlation between the error structure of each panel.
It seems that
xtreg, fe does not allow for this. Is xtgls the
appropriate command
to use, i.e. does it implicitly estimate a fixed
effects model? (I am guessing it does not and simply
restricts to constant to be equal for all individuals
(panels)). Any
insights would help.
Thanks in advance.
Ash.
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