XTGLS2: Stata module to estimate GLS estimator for large N, small T panel data models

Hoàng Bá Mạnh ()
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Hoàng Bá Mạnh: Eureka Uni Team, Vietnam

Statistical Software Components from Boston College Department of Economics

Abstract: xtgls2 estimates General GLS estimator for large N, small T linear panel data models (Pooled, FE, FD), aiming to obtain (asymptotically) efficient estimates in the context of non-spherical characteristic errors. Specifically, in each estimator, the error covariance matrix is assumed to have a general (or restricted) form within panels, and to be the same across panels. These assumptions can be relaxed, for example, there is no correlation between observations within panels. In the context of heteroscedastic errors across panels, panelvar-clustered standard errors (Arellano, 1987) can be used. For more details, see Kiefer (1980) and Wooldridge (2002, 2010). In summary, xtgls2 allows researchers to control for heteroscedasticity across panels, over time periods, and general correlation within panels. xtgls2 is used for balanced panel data with N>>T and data must be xtset.

Language: Stata
Requires: Stata version 11
Keywords: GLS; panel data; heteroskedasticity (search for similar items in EconPapers)
Date: 2025-08-08
Note: This module should be installed from within Stata by typing "ssc install xtgls2". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/x/xtgls2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtgls2.sthlp help file (text/plain)

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