Hi all,

I hope someone can help me understand why xtpcse produces different coefficients. I specify the following serial correlations:

xtpcse DV IV(s) i.country (country dummies) - this one assumes no autocorrelation

xtpcse DV IV(s) i.country (country dummies), corr(ar1) - this one assumes common AR(1)

xtpcse DV IV(s) i.country (country dummies), corr(psar1) pairwise - this one assumes panel-specific AR1

Of course I should get different standard errors and P-values since each regression assumes certain type of autocorrelation (first one imposes no autocorrelation) but that should not affect coefficients for IV(s). However, each model produces different IV coefficients in addition to different standard errors and P-values (the later of course expected)


Thanks