Unfold pastry sheets on a surface sprinkled with 2 tablespoons sugar; roll each sheet into a 16- x 12-inch rectangle.
Combine egg and 1 tablespoon water; brush pastry sheets with half of mixture.
Combine cinnamon, chopped pecans, and remaining 2 tablespoons sugar; sprinkle over pastry. Starting at each short end, roll pastry up tightly, jellyroll fashion, to meet in center. (The shape of the roll resembles a scroll.) Brush with remaining egg mixture. Cut each roll into 1/2-inch-thick slices; place 2 inches apart on lightly greased baking sheets.
Bake at 400° for 10 minutes or until palmiers are golden.
