Given that -xtreg, re- is referred to on the help file as "GLS random-effects (RE) model", I am puzzled that -xtgls- with default options (and -xtpcse-) produces the same coefficients as -regress- and different from both -xtreg, re- and -xtreg, mle-. Why? Most importantly, which should I trust???
Moreover, -xtgls- and -regress- produce almost identical standard errors. I don't think it depends on my data, e.g. take some panels on the web and confront:
webuse abdata
xtreg n w k ys yr198*
regress n w k ys yr198*
xtgls n w k ys yr198*
Please note that I use Stata 9.2
Nicola
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