I am struggeling to find the specific commands to achieve lower standard errors within simple regressions.
I would be thankful for your help.
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Sign up to join this communityI am struggeling to find the specific commands to achieve lower standard errors within simple regressions.
I would be thankful for your help.
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.
regress
does pooled OLS, and yourxtreg 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 yourxtset 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