Stata16: Estimate Panel Data Models using FGLS Technique

What is Feasible Generalised Least Squares (FGLS) Technique?

1) Controls for cross-sectional dependence, autocorrelation and heteroscedasticity.

2) Applicable to N less than T panel data structure – when the number of cross-sections is LESS than the time dimensions.

3) FGLS is a static panel data technique…suitable for long-run analysis.

Article available on my RG profile. Kindly make a request and I will send it to you.
Baseline model: 𝐥𝐧〖〖𝑪𝑶〗_𝟐〗_𝒊𝒕 = 𝜷_𝟎 + 𝜷_𝟏 〖𝐥𝐧𝑷𝑪〗_𝒊𝒕 + 𝜷_𝟐 〖𝑷𝑮𝑹〗_𝒊𝒕 + 𝜷_𝟑 〖𝑹𝑬𝑵〗_𝒊𝒕 + 𝜷_𝟒 〖𝑹𝑸〗_𝒊𝒕 + 𝜺_𝒊𝒕 [1]
Carbon emissions expressed as a linear function of per capita GDP, population growth, renewable energy and regulatory quality

FGLS Analytical Procedure:
1) Specify the model
2) Check for multicollinearity (perform correlation analysis)
3) Test for cross-sectional dependence* (Pesaran CD Test)
4) Perform unit root test (CIPS, CADF)
5) Test for cointegration (Westerlund Test)
6) Estimate the model (using PCSE)

CrunchEconometrix videos should be supported by relevant readings from econometrics textbooks, journal articles and other resources to properly harness the simplicity of the video tutorials.

Suggested References:

CrunchEconometrix videos should be supported by relevant readings from econometrics textbooks, journal articles and other resources to properly harness the simplicity of the video tutorials.

[EstherOgundare]

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[pan]

😊 what a perfect work !!!many thanks professor

[bellisma]

One of your great videos. Should i have to use FGLS after performing OLS and check for serial correlation and hetero.? Is GFLS used in both cases of cointegration and no cointegration? Thanx

[VavaKaneza-gb]

Helloo Dr. NGOZI. I want to know if it is possible to perform PCSE and FGLS when variables are stationary at I(0) and I(1). Also we would like to have a lesson on CS ARDL with Eviews and Stata if possible

[miramamin]

you have mentioned that all variables are stationary at first difference, why you didn't specify that ex.(d.lnpc) while you are running the Fgls or PCSE models? another question please, if my variables are integrated at I(0) and I(1) and the dependent variable is stationary at level and all the variables are cointegrated, do I run the PCSE model while all variables are at level and ignore the stationarity levels?

[etbedtalksAOH]

Ma'am as we have around 6 results each for fgls and pcse which one should we give for a paper or thesis? Is the last estimate result fine? Or do we need explain all results?

[etbedtalksAOH]

Ma'am, my question is can we change the independent variables to simulate its effect on the dependent variable such as a 10 percent change in one variable, how much it affects the dv. Is there such a command available as per your knowledge? Thank you

[farhatazad]

Mam when i am checking my results for panels are heteroskedastic and correlated with each form of autocorrelation whether independent ar(1) or panel specific AR(1) . It’s showing panels must be balanced but when i choose panels are heteroskedastic but uncorrelated its showing the results . Plz if u can address my problem

[etbedtalksAOH]

Ma'am, is it possible to follow up the analysis with a simulation? How to undertake that? is it using IF command?

[kamlaksharana]

Hello, i have used system GMM for my dataset having 545 firms and 19 years of time period. How i can check cross-sectional dependence in this case? Or is it important to check cross sectional dependence while using system GMM

[somatv]

Dr Ngozi, how to perform Westerlund when we have more than 6 variables? I have 8 variables we use up to 6 variables I get results but if I added 7th variable stata returns the following error "getresd():331 subscript invalid" I have 6 countries and 2000_2020 as study period

[florencelwiza]

Thank you Dr. One question, what would be the technique to use if it were a dynamic model with T>N

[RafiaAli-ne]

Hello
I really hope you are doing well.
I am working on panel data having 22 years and 54 cross-section based on upper middle income countries. What estimation method you suggest for this kind of data.

[rifdanabila]

Hello Dr, is this method possible on panel data with only 4 years and 43 samples?

[etbedtalksAOH]

Ma'am is it possible to get seperate country wise results in fgls like we can get using pmg?
Second, is there a way to use fixed effects fgls? If so, how?

[sakshisachdeva]

Amazing videos Dr. My data set is N>T, and auto correlation and cross-sectional dependence both are present in my data set. N=27 and please please help me

[modemode]

"Your efforts in academic content creation are impressive. I have watched all your videos regarding Stata and would like to inquire about the mediator variable in panel data. How is the regression analysis conducted for it, and how do you determine statistical significance?"

4o

[kamlaksharana]

What test we need to apply if N>T in panel data to check cross-sectional dependence

[masterakande]

Good morning ma, please are you the one running crunch queen biz page? I just want to further confirm before I register because its monetized as affiliate marketing program. Thank you ma.

[mubasherzaman]

If N=T like 20 countries and 20 years data, can I use this FGLS technique?