st: Correction for Autocorrelation and Heteroskedasticity

[June <junebridge25@gmail.com>]

Hi everyone,

I'm having trouble understanding what's going on when I correct for 
autocorrelation and heteroskedasticity in panel data.  From what I 
understand, these are issues that affect the standard errors, and not 
the point estimate, in a regression.  However, when I try to adjust for 
these issues using either xtgls or xtregar, my coefficients estimates 
change a lot, sometimes even changing signs! Can anyone explain why this 
would happen, or point me towards resources that would explain it?

For the record, I'm using stata 12, and comparing my results from:
xtreg y x1 x2 x3, fe                   // no corrections
xtgls y x1 x2 x3 i.groupvar, panels(i) corr(ar1) force // correct for 
ar1 autocorrelation
xtgls y x1 x2 x3 i.groupvar, panels(hereto) corr(i) force        // 
correct for heteroskedastic errors
xtgls y x1 x2 x3 i.groupvar, panels(hereto) corr(ar1) force    // 
correct for both
xtregar y x1 x2 x3, fe rhotype(regress)     // correct for ar1 
autocorrelation

Thank you!
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