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R: st: Fixed Effects GLS regression
From
"[email protected]" <[email protected]>
To
<[email protected]>
Subject
R: st: Fixed Effects GLS regression
Date
Sat, 15 Sep 2012 19:41:35 +0200 (CEST)
1. First, you should run the serial correlation test (xttest3) after FE
estimation.
2. Then, you should use the command xtgls.
Regards,
Cosimo Magazzino
>----Messaggio originale----
>Da: [email protected]
>Data: 13-set-2012 19.07
>A: <[email protected]>
>Ogg: st: Fixed Effects GLS regression
>
>Dear Statalist,
>
>I am trying to run a standard fixed effects regression but I find that
>there is serial correlation in the idiosyncratic errors. Wooldridge
>(2002) suggests fixed effects GLS to correct for this but I am having
>trouble running a FEGLS regression in Stata. Any advice on how to do
>this withing Stata12 would be much appreciated.
>
>regards,
>Dheepan Ratha Krishnan
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