With panel data you specify an ARMA(1,1) model by introducing a lagged endogenous variable, and first-order serial correlation of errors, i.e AR(1). If y is the dependent variable, the lagged endogenous variable can be specified as L.y. - David Greenberg, Sociology Department, New York University
----- Original Message -----
From: baxa0002 <[email protected]>
Date: Tuesday, June 22, 2004 8:46 pm
Subject: st: Panels and ARMA(1,1)
> Hi -- How do we handle ARMA (1,1) in a panel data?
> Thanks,
> Stata User
>
>
> *
> * 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:
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* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
