Greetings!
I am wondering if -xtpcse- really performs just ordinary OLS, as Stata's
help says. If this was so, a regression with -xtpcse- of mean-differenced
data (within transformation) should give me the same coefficients as one
with -xtreg, fe- on the original data, only with standard errors adapted for
heteroskedasticity and contemporaneous cross section correlation (assuming
no autocorrelation). However, I get both different coefficients and an even
more different R-square. Does anyone have an idea of what could be the
reason?
Regards,
Markus Poschke
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