Hi Ricardo,
The xtgls command is strictly speaking not asymptotic in panels - rather,
it requires a large time dimension. This is essentially because you are
estimating variance parameters for each panel and the estimates require
many time-periods per panel for consistency.
You may attempt to use the command
regress, cluster()
This command gest you OLS parameters (as the xtpcse command) but the
standard errors are consistent for N large rather than T large.
Vasilis
On Mar 1 2005, Ricardo Gon�alves Silva wrote:
Dear Stata users
My question concerns on panel data estimation. I have cross section of
124 countries observed over 19 to 33 years. Additionally, I suspect my
dependent variable is heterosckedastic (income growth rate) and
correlated with one independent variable (the income level) and a
time-trend. Finally, I want to get specific country effects. In this way,
my model is something like that:
gr_y = x1 time i.idd
The question is: what estimation procedure should I use. In my view, the
basic ones are xtgls or xtpcse. I know that xtgls are asymptotic in
panels, and xtpcse are asymptotic in years. So, given my setup, the
direct choose would be xtgls. But I also know that the Standard
Deviations of FGLS are too optimistic.
So, the question remains? What one?
Any help will be very appreciated.
Cheers
Ricardo
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