Hello,
I have panel data on 32 countries and am estimating a fixed-effects
model with country-specific time trends. I found evidence of
autocorrelation (using the command xtdw), so I am using areg with
robust standard errors clustered on country. However, when I test for
the equality of the time trends using "testparm timetrendcountry*, e",
I get that all but one of the 31 constraints are dropped. I also
tried using reg with country dummies and the robust standard errors
clustered on country, but the same thing happens. Without specifying
robust standard errors, the test for equality works as usual. Does
anybody know what is going on?
Thanks,
Jeffrey
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