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xtpcse with ols coefficients and ar(1) standard errors
xtpcse with ols coefficients and ar(1) standard errors

Dear users,

I have a panel with n=40 states and t=30 years which I would like to estimate with the xtpcse command (Linear regression with panel-corrected standard errors).

My questions is whether there is a way to use the xtpcse command with OLS estimated coefficients and ar(1) corrected standard errors.

The xtpcse by default uses OLS but switches to GLS (prais-weinstein) as soon as the ar(1) option is included.

This question was already raised in this old thread https://www.stata.com/statalist/arch.../msg00098.html with no resolutive answers.

Thank you so much.

Sasha

BJ Data Tech Solution

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