Robert, Reed W.; Rachel, Webb - In: Journal of Time Series Econometrics 2 (2010) 1, pp. 1-26
This paper investigates the properties of the Panel-Corrected Standard Error (PCSE) estimator. The PCSE estimator is commonly used when working with time-series, cross-sectional (TSCS) data. In an influential paper, Beck and Katz (1995) (henceforth BK) demonstrated that FGLS produces coefficient...