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From | Clive Nicholas <clivelists@googlemail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: xtgls, xttest2, xttest3 |
Date | Fri, 16 Apr 2010 17:01:09 +0100 |
Amin Mohseni wrote: > I want to make sure my logic below is correct. > > First I am run xtgls with the option panels(correlated) which uses > heteroskedastic and correlated error structure for computing the > standard errors. > > Then I run xttest2 and xttest3 I reject the null for both tests > (confirming that I have groupwise hetero and cross-panel correlation) > > Now I can trust the results from the xtgls, panels(correlated) > because xttest2 and xttest3 indeed point to groupwise hetero and > cross-panel correlation) which I have included in my xtgls model. So does running -xtreg, i(panelvar) fe robust-. Have you compared what both these models tell you? Is N low? If so, -xtgls- estimates and standard errors tend to be unreliable. Also, what do you find if you run -xtpcse-? You should show your models using -estout-, then we can all judge. -- Clive Nicholas [Please DO NOT mail me personally here, but at <clivenicholas@hotmail.com>. Please respond to contributions I make in a list thread here. Thanks!] "My colleagues in the social sciences talk a great deal about methodology. I prefer to call it style." -- Freeman J. Dyson. * * 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/