st: 'xtgls' for panels that exceed matsize limit

[Ramona Meyricke <raem4@cam.ac.uk>]

Hello, I have an unbalanced panel of 1,248,000 observations on 10,853 
individuals for up to 264 months. I want to run panel regressions allowing 
for cross sectional dependence using 'xtgls' and 'xtmg'.

'xtreg' works on this panel OK, but 'xtgls' and 'xtmg' do not work and 
return the error: "matsize too small - should be at least 10625". I am 
using STATA IC, so the max matsize I can get is 800. I tried bootstrapping 
with size(800) to try and get 'xtgls' and 'xtmg' working on a bootstrapped 
sample within a matsize limit of 800, but can't get this working. The 
command:

bootstrap, size(800) cluster(gvkey2) idcluster(newid) : xtgls y MktRF RF, 
i(newid)

returns the same error "matsize too small - should be at least 10625". (But 
I can get the same command working when I draw 800 IDs and run xtgls on the 
sub-sample generated by: bsample 800, cluster(gvkey2) idcluster(newID)).

Is it possible to get bootstrap working with xtgls with over 800 
individuals? Or is there another way to run panel regressions controlling 
for cross-sectional dependence on this panel? (I have never programmed in 
MATA, so would like to stick to STATA if possible.)

Many Thanks, Ramona


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