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Re: st: xtpcse command


From   "Vladimir V. Dashkeyev" <dashkeyev@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtpcse command
Date   Mon, 4 Jun 2007 20:56:37 +0400

Thanks, but let me restate my question: I wanted make sure that
-xtpcse- Prais-Winsten estimator is a random effect estimator.

If it is, then is there a way to get in Stata a fixed effect estimator
that takes account of autocorrelation and heteroskedasticity?

Best,
Vladimir.

On 6/4/07, Johan Hellstrom <johan.hellstrom@pol.umu.se> wrote:
In the manual, as well as in the output, it is showed that it is
Prais-Winsten estimates that are produced when autocorrelation is specified.

Best,
Johan Hellstrom


>Dear Statalist users and especially Stata Corp. staff,
>
>Are the coefficient estimates reported after -xtpcse, corr(ar1)- or
>-xtpcse, corr(psar1)- estimated by a RE model (namely Prais-Winsten
>GLS model)?
>
>Thanks in advance,
>Vladimir.

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