![Statalist](/includes/images/head_statalist.jpg) |
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: xtgls, xtpcse or xtreg when the dataset is very small and N > T
From |
Florian Stahl <[email protected]> |
To |
[email protected] |
Subject |
st: xtgls, xtpcse or xtreg when the dataset is very small and N > T |
Date |
Wed, 13 Jan 2010 16:07:27 +0100 |
Dear Statalist,
as I don't know what is exactly going on behind some commands I have
concerns of using the wrong command.
1. My dataset contains 40 firms and 10 time points (yearly): Dataset is
very small and N > T
2. The dependent variable is log-centric and the independent variables
are defined as the difference from the mean: That means my model is
nonlinear.
My idea is to apply a fixed effects model with dummy variables for each
firm. As the dataset is very small and N > T, which alternative model do
you suggest to use:
GLS?
a) xtgls depvar indepvar firmdummies, pannel(hetero) corr(ar1)
b) xtpcse depvar indepvar firmdummies, corr(ar1) hetonly
OLS?
b) regress depvar indepvar firmdummies, vce(robust) cluster(firmid)
Or should I use (due to the nonlinearity in the model) glm or mle
(xtreg depvar indepvar, mle)?
Thanks a lot for your help!
Florian
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/