Good evening,

I spent about 40 min reading the manual, and reading Baltagi and Wu (1999), and I was not able to determine with probability one whether "[XT] xtregar -- Fixed- and random-effects linear models with an AR(1) disturbance"
is an estimator which is consistent as the cross sectional dimension grows large, or is consistent as the time series dimension grows large.

I guessed it is the latter, it is consistent as the time series dimension grows large, but this was mostly because both Stata and Baltagi and Wu (1999) give as examples the Grunfeld data, and it is data that is with large time series dimension.

Does anybody know for sure?

Baltagi, B. H., and P. X. Wu. 1999. Unequally spaced panel data regressions with AR(1) disturbances. Econometric Theory 15: 814-823.