Don't know about the first question, but:
1) -gthacker- (from http://people.bu.edu/ralfaro/stata) fits a fixed-effects models with Newey-West standard error correction. As stated in its help, -xtivreg2- can do it, too.
2) -xtscc- (from ssc) produces Driscoll and Kraay (1998) standard errors for coefficients estimated by pooled OLS/WLS or fixed-effects (within) regression. The error structure is assumed to be heteroskedastic, autocorrelated up to some lag, and possibly correlated between the groups.
3) Last but not least, try: -xtreg, fe cluster(id)-.
Nicola
At 02.33 05/06/2007 -0400, "Vladimir V. Dashkeyev" wrote:
>Thanks, but let me restate my question: I wanted make sure that
>- -xtpcse- Prais-Winsten estimator is a random effect estimator.
>
>If it is, then is there a way to get in Stata a fixed effect estimator
>that takes account of autocorrelation and heteroskedasticity?
>
>Best,
>Vladimir.
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