Saul,
I think I'm right in saying that, in fact, -xtpcse- produces OLS
estimators, not GLS ones, but with 'panel-corrected' standard errors. Beck
and Katz, throughout all of their work, have gone out of their way to
strongly recommend that GLS (or FGLS) should _never_ be used unless
absolutely necessary, since they believe that the SEs contain "horrible"
properties (to use Beck's word (2001)).
Saul Lach wrote:
> I have panel across individuals and time data and I want to estimate the
> parameters of a linear model using OLS on the pooled data assuming that
> the errors follow an AR1 process for each individual. Does anybody know
> where I can get a program that does this? As far as I understand the
> command xtpcse produces a GLS (prais-weinstein) estimator, not the OLS
> estimator.
Beck, N. (2001) "Time-Series-Cross-Section Data: What Have We Learned in
the Past Few Years?", ANNU REV POLIT SCI 4: 271-93.
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