I have panel across individuals and time data and I want to estimate the
parameters of a linear model using OLS on the pooled data assuming that
the errors follow an AR1 process for each individual. Does anybody know
where I can get a program that does this? As far as I understand the
command xtpcse produces a GLS (prais-weinstein) estimator, not the OLS
estimator.
Thanks for your help
Saul
--
***********************************************************************************************
Saul Lach
Dept. of Economics Tel: 972-2-5883253
The Hebrew University Fax: 972-2-5816071 (Israel)
Jerusalem 91905 Fax: (208)441-6752 (USA)
Israel E-mail:
[email protected]
Home page: http://economics.huji.ac.il/facultye/saul/saul.html
***********************************************************************************************
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
