Hello,
I am working on panel data in Stata 14.1.
I have run the following tests:
lrtest = p<0.000 indicating heteroscedasticity
xtserial = p<0.000 indicating serial correlation
Based on these test results, I am using the following option:
xtgls y $xlist, panels(correlated)
How can I test whether I should be opting of one of the following over my current specification:
xtgls y $xlist, panels(heteroskedastic) corr(ar1)
xtgls y $xlist, panels(heteroskedastic) corr(psar1)
I get some strange results on one of my control vars when I ran the last 2 FGLS regressions.
Thanks, Robert
I am working on panel data in Stata 14.1.
I have run the following tests:
lrtest = p<0.000 indicating heteroscedasticity
xtserial = p<0.000 indicating serial correlation
Based on these test results, I am using the following option:
xtgls y $xlist, panels(correlated)
How can I test whether I should be opting of one of the following over my current specification:
xtgls y $xlist, panels(heteroskedastic) corr(ar1)
xtgls y $xlist, panels(heteroskedastic) corr(psar1)
I get some strange results on one of my control vars when I ran the last 2 FGLS regressions.
Thanks, Robert