REGPCSE - Panel Corrected Standard Errors

[TomDoan]

This is a revised version of a regression post processor which can be applied after a LINREG to reprint the regression with some form of "panel corrected standard errors". The original reference on this is Beck and Katz (1995), "What to Do (and Not to Do) with Time-Series-Cross Section Data in Comparative Politics," American Political Science Review, vol 89, no 3, pp 634-647 which corrects for contemporaneous covariance among the individuals in a panel data set. This can be used when the number of observations (T) is small enough relative to the number of individual (N) that SUR estimates with an empirical covariance matrix are likely to have poor properties. The revision now allows also for correction for individual HAC (autocorrelation just within individuals) and panel HAC (autocorrelation across individuals).

This should only be used on a balanced panel. It should be used only after a LINREG.

regpcse.src

Procedure file - requires RATS 8.1

(2.97 KiB) Downloaded 47 times

@regPCSE(options)

Options

METHOD=[PCSE]/IHAC/PHAC
Chooses the correction method. PCSE is Beck-Katz. IHAC is individual HAC. PHAC is panel HAC.
LAGS=number of lags in IHAC and PHAC. A Bartlett (Newey-West) window is used.
TITLE=title for regression output ["OLS with (description) Covariance Matrix"]