Prais Winsten for panel data

[Yolanda Lee]

Hello all,

I'm trying to run panel data regression using the prias-winsten command but it tells me i need to tsset. Does Prais also work for xtset? If so which variable do I set? My dependent variables are emissions and dependent variables are GDP, GDP^2, mfg share, and Trade openness. The data are yearly from 1980-2010 for all oedc countries.

Thanks!

[Jeff Wooldridge]

I don't think the prais command works for panel data. Instead, use xtgee with an AR(1) structure. It is always a good idea to make the standard errors robust to violation of the AR(1) assumption (although you don't exactly have a "large N, small T setting).

xtset country year
xtgee emissions GDP ... openness, corr(ar 1) robust