Hi Chandra,
I had the same problem; i opted finally to use individual clustering
with robust option. The clustering should be ok for autocorrelation.
I am not sure that i am right, but it was the only way for me to
resolve the dilemma.
i hope that would be useful.
Hanene
2008/9/15 Chandra Kiran <[email protected]>:
> Hi,
> I have a question concerning estimation of a fixed-effects panel data model
> with both heteroscedasticity as well as auto-correlation. After exploring
> both xtgls and xtregar options, I feel both to be unsuited, since in the
> xtregar case, one is limited to no heteroscedasticity, while in xtgls, there
> does not appear to be the option of estimating fixed effects.
> Can anyone suggest a specific command (or user written program) for taking
> care of both issues in a fixed effects setting ?
>
> Chandra
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--
Hanene HENCHIRI
Doctorante
Laboratoire d'�conomie d'Orl�ans (LEO)
Facult� de droit, d'�conomie et de gestion
Rue de Blois, B.P 6739, 45067
Orl�ans, cedex 2
France
t�l: (0033) 2.38.49.49.44
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