Hello,
I have a question about implementing regressions in R with panel corrected
standard errors with a correction for autocorrelation between the error
terms. The reason I am reaching out to you is because I came across a
resource online dated from a while back
<https://lists.gking.harvard.edu/pipermail/gov2001/2008-April/001938.html>
when you indicated "We are still working on a function that does PCSE AND
AR(1) correction AND works for unbalanced panels (right now we only have
the first two)."
My question is, what progress has been made on such a program/package in R?
My goal is to adapt an analysis I performed in Stata that took the form of
"xtpcse [depvar] [indvars], corr(ar1)". When I used the pcse package in R,
I received an error message stating that "Length of groupN and groupT must
equal nrows of using data", which I believe indicates that my panels were
unbalanced.
Sorry for contacting you out of the blue, but I thought maybe you knew of a
quick solution given your post in the hyperlink above.
Thanks.
Ben
