EViews.com

Hello,

I am a beginner on using Eviews. (Version 7)

For panel estimation, I made panel workfile and estimated Panel Least Squares with Cross-section SUR(PCSE) standard errors allowing contemporaneously correated cross-sections and heteroskedasticity.

But, the data has also autocorrelaion such as AR1 or AR2.

That is, STATA has an option considering the autocorrelation in the "xtpcse" command.

Is there any way to find robust standard errors (PCSE) for all kinds autocorrelation, cross-section correlation and heteroskedasticity?

Thanks!

Not at the moment, unfortunately, at least not without doing the computation yourself.

Thanks for your answer!

Do you have any good suggestion to manually calculate the PCSE considering autocorrelation within cross-sections as well as cross-sectional correlation with some possible ways using E-veiws?