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st: PCSE for Cochrane Orcutt

From   "Mack, Alexander" <>
To   "" <>
Subject   st: PCSE for Cochrane Orcutt
Date   Thu, 30 Aug 2012 07:12:37 +0000

Dear Statalisters,

I am currently estimating a TSCS model which has major issues with serial correllation. Following the advice of Beck and Katz (2009) I estimated a Cochrane Orcutt regression (via prais with corc) with a lagged dependent variable in order to deal with autocorrelation. The results are promising however I would like to estimate panel corrected standard errors for this model. However I can not find a command which will accomplish this for me and am unable to calculate them manually. Any suggestions or help would be greatly appreciated.



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