I am struggeling to find the specific commands to achieve lower standard errors within simple regressions.

I would be thankful for your help.

  • 1
    $\begingroup$ regress does pooled OLS, and your xtreg Y X1 X2 X3 with no options does the "random effects FGLS" panel regression. If you want GLS, you need to provide with a covariance structure, which is done by your xtset firmID Time. OLS requires nothing. To figure out what is really done under the hood, the "Methods and formulas" section of the Stata pdf manual would help. $\endgroup$ – chan1142 Sep 2 '17 at 1:00
  • $\begingroup$ The edit impoverishes the question considerably. What was the motivation? $\endgroup$ – luchonacho Sep 7 '17 at 16:02

Pooled regression on a panel-data sample, indeed, does not take the time dimension into account. This is why it is called "pooled": we ignore the fact that for each cross-section we have a time series, and we treat the whole panel-data sample as though it were a cross-sectional one, as if, say, $x_{it}$ and $x_{i,t+1}$ are diffrenet cross sections.


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