Marcus Poschke ([email protected]) wrote:
> 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?
When you removed the group means before fitting your model with -xtpcse- did
you also add the overall mean back in? That is what -xtreg, fe- does. An easy
way to insure that you are using the same data is to use -xtdata, fe- to
perform the transformation and then use the resulting data with -xtpcse-.
Allen McDowell
[email protected]
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