Hello,
I have an unbalanced panel data set with a very large T to N ratio.
Essentially, I follow 5 countries over a period of 200 or more years.
I must correct for contemporaneously correlated errors, panel
heteroskedasticity, and common serial correlation. I have opted to use
newey2 or xtpcse rather than xtgls following Beck and Katz (1995).
My question is the following: Is the only difference between newey2
and xtpcse that xtpcse controls for contemporaneously correlated
errors while newey2 does not? That is, does newey2 control for
contemporaneously correlated errors? Please note that for both
techniques I already control for panel heteroskedasticity and common
serial correlation.
Thanks very much for your help. I really appreciate it.
Sincerely,
Mark
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