I do not know why Cess Jadhav tagged along on a thread for small N large T data, as his data is small T large N variety, and Carlo gave good suggestions regarding large N small T.
Back to the point of the Original Poster, Professor Wooldridge suggested -xtscc-, and the only problem of -xtscc- is that it is OLS and does not take into account the likely correlation structure in the data, and therefore there are efficiency losses.
I have written two post estimation commands which calculate (cluster) robust variance and standard errors after -sureg- and -xtgls-, and therefore resolve the problem pointed out by Professor Wooldridge that "The problem with -xtgls- and -xtregar- is that they do not allow for robust inference".
The -sureg- and -xtgls- are very appropriate methods for the situation OP describes, and which of the two is more appropriate depends on whether one wants to allow only heterogeneous intercepts among the 6 firms, or heterogeneous all estimated coefficients (intercepts and slopes).
My post estimation command that robustify variances post -sureg- and -xtgls- can be installed by typing from within Stata:
and
Back to the point of the Original Poster, Professor Wooldridge suggested -xtscc-, and the only problem of -xtscc- is that it is OLS and does not take into account the likely correlation structure in the data, and therefore there are efficiency losses.
I have written two post estimation commands which calculate (cluster) robust variance and standard errors after -sureg- and -xtgls-, and therefore resolve the problem pointed out by Professor Wooldridge that "The problem with -xtgls- and -xtregar- is that they do not allow for robust inference".
The -sureg- and -xtgls- are very appropriate methods for the situation OP describes, and which of the two is more appropriate depends on whether one wants to allow only heterogeneous intercepts among the 6 firms, or heterogeneous all estimated coefficients (intercepts and slopes).
My post estimation command that robustify variances post -sureg- and -xtgls- can be installed by typing from within Stata:
Code:
ssc install suregr
Code:
ssc install xtglsr
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