Re: [Gretl-users] Panel corrected standard errors
On Wed, 21 Apr 2010, Kristyna Pokorna wrote:
I'd need to use Prais-Winsten model (Panel Corrected Standard
Errors, PSCE) as in my panel data set there are only few
countries included compared to the length of the time series.
Therefore the model preset in gretl (model described by Arellano
and Bond) is not appropriate. Please, is it possible to invoke
the PSCE estimator in gretl? If it is possible, please could you
give some instructions what should be done?
At present Beck-Katz standard errors are available only when the
estimator is OLS or fixed effects. We may generalize this, but
right now you'd have to compute PCSE via a script. If the panel is
balanced this would be quite easy using gretl's matrix
functionality, but it would be ugly for an unbalanced panel.
Allin Cottrell