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
