Guidance on Applying the Panel Corrected Standard Error (PCSE) Approach

[gaurav mehta]

Respected members 

I am currently working on my research involving panel data analysis and have come across the Panel Corrected Standard Error (PCSE) approach as a suitable method to address potential issues of heteroscedasticity and contemporaneous correlation across panels.

While I have reviewed some literature and methodological notes, I am seeking a clearer understanding of the following aspects:

1. In which situations is the PCSE approach considered more appropriate compared to alternatives such as Driscoll-Kraay or feasible GLS?

2. The practical steps for implementing PCSE in Stata specifically the conditions which we have to select amongst the mentioned conditions:

1. No autocorrelation 

2. AR(1)

3. Panel special AR(1)

in applying the PCSE approach.

Thank you very much for your time and support.

With regards

Mohini