Dear Statalist,
I've been running both -xtpcse and -xtgls on my
serially correlated and heteroskedastic, unbalanced
panel (N=50, T=30).
Thanks to Beck/Katz (1995) I am prepared to treat the
-xtpcse results as more reliable statistically because
-xtgls produces overconfident test statistics.
However, I was not prepared to see (for some
variables) markedly different coefficient estimates
(including switching signs) between the two, but
that's exactly what I get.
Given heteroskedasticity, the coefficient estimates
via GLS (xtgls) could be more efficient than OLS
(xtpcse), but I am not sure how the small T, large N
problem affects the reliability of coefficient
estimates in -xtgls? Does anybody know?
Btw, xtpcse seems to have emerged as the standard in
political science, but my impression is that in
economics it is much less used. Why?
Thanks in advance
Moritz Schularick
Free University Berlin
Mit sch�nen Gr��en von Yahoo! Mail - http://mail.yahoo.de
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