st: unbalanced panel data with heteroskedasticity and correlation of residuals

["dora sepour" <dora05@gnet.tn>]

Dear Stata users,

I have an unbalanced panel data. I detected heteroskedasticity, 
autocorrelation (using xtserial) and cross sectional correlation (using 
pesaran test).

Using xtgls y x1 x2, panels(corr) corr(ar1) to correct for hetero and 
dependence, a message tells me that the panels must be balanced.  Is someone 
have an idea to correct for hetero and dependence with unbalanced panels 
data?

Thanks in advance for your suggestions,
Best wishes,
Dora

Thank you Kit for your help.




Thank you Kit for your help. 
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/