Move to:
xtpcse y x1 x2, corr(ar1)
Alternatively, you may try -xtgee-, or -xtscc- (from ssc)
Nicola
At 02.33 31/10/2007 -0400, "dora sepour" wrote:
>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
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