I've got exactly the same problem as Toni, but for a very large dataset (44 th obs over 13 years).
I've evaluated my model based on fixed/random effects models. According to Hausman test fixed
effects model is the most appropriate. I have used xttest3 to test for heterosk; xtserial and pantest2 to
test for autocorrelation for the fixed effects model. Based on the results, my model suffers from
both - autocorrelation and heteros. Following Clieve's advice I have used xtgls y x1 x2 x3, c(p) force
to cure for autocorr and heterosk. However, a message saying that "matsize too small - should be
at least 6243" has appeared. I have tried to increase the memory (set memory 700m) and matsize
(set matsize 4000) to the maximum (allowed by my computer), but it seems that it is not enough.
Any suggestions?
Svetlana Mira
On 26 May 2004 at 0:20, Antonio Rodrigues Andres wrote:
> Thanks Clive
> I just wonder if I want to estimate a fixed effects model with ar(1) and
> accounting for heteroskedasticity, I should use xtgls as follows
>
> xtgls dep.var indep.var indi.dummies, force p(corr)
>
> is that correct?
> Toni
>
> >>> [email protected] 05/25/04 11:57 PM >>>
> Antonio Rodrigues Andres wrote:
>
> > I tried
> > xtgls y x1 x2 x3, force p(corr)
> > but it appears the message
> > panels must be balanced
> >
> > what is wrong?
>
> Try:
>
> . xtgls y x1 x2 x3, c(p) force
>
> CLIVE NICHOLAS |t: 0(044)191 222 5969
> Politics |e: [email protected]
> Newcastle University |http://www.ncl.ac.uk/geps
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