Re: st: OLS with AR1 errors

[Justina.Fischer@unisg.ch]

We have made estimations with  similar panels and used OLS with Newey-West
standard errors.

There is - if I remember correctly - a command 'newey' available for such
purposes.

Justina


                                                                                                                                                
                      Saul Lach                                                                                                                 
                      <mslach@mscc.huji.ac.il>          An:      statalist@hsphsun2.harvard.edu                                                 
                      Gesendet von:                     Kopie:                                                                                  
                      owner-statalist@hsphsun2.         Thema:   st: OLS with AR1 errors                                                        
                      harvard.edu                                                                                                               
                                                                                                                                                
                                                                                                                                                
                      07.01.2004 11:44                                                                                                          
                      Bitte antworten an                                                                                                        
                      statalist                                                                                                                 
                                                                                                                                                
                                                                                                                                                




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:
Saul.Lach@huji.ac.il

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/





*
*   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/