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  • Why trend is important in AMG and CCEMG estimators?

    Dear Statalist

    I read many papers estimate the CCEMG and AMG using the command of xtmg they add trend and robust , please can you explain it for me why it is important and when I need to use it ?

    Example
    Code:
     xtmg y X1 X2 , aug robust trend
    Or
    Code:
    xtmg y X1 X2 , cce robust trend
    When and why I can use the trend and robust in my analysis?

    Thanks

  • #2
    Dear @JanDitzen
    I have another question what the difference between CCEMG estimator and AMG estimator in calculating the cross sectional dependence and which estimator performs better because I run my regressions the results in two estimators (AMG) and (CCEMG) are different in the signs and the significant, the (AMG) estimators give me the significant results but CCEMG insignificant, but how I can explain why theses two estimators are different in my results since both of them perform well in the presence of cross sectional dependence??
    Last edited by Saberia Sadeq; 10 Oct 2021, 13:40.

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