st: Estimating a model allowing for AR(1) in residuals with weights inpanel

[Tak-wai Chau <twchau@frontiernet.net>]

Hi, Statalist users,

I have a question about estimating a model allowing for AR(1) in 
residuals with weights.

I have a dataset with state-year level data. The model is like this:

y_it= a + b*policy_it + c_i + d_t + u_it

where i stands for states and t states for year. policy is a policy 
implemented at different time in different states. c_i are state dummies 
(all states except one), and d_t are year dummies (all year except one), 
thus it is a difference in difference model. I also want to do this 
regression with state population size as weights.

If u_it is serially correlated for each state, and I would like to allow 
for AR(1) for this u_it over time for each state to obtain parameter 
estimates, what should I do in Stata?

I have thought of xtregar, fe, but it does not allow weights.

BTW, I think the convention is that we have the autoregressive parameter 
the same across all states. I wonder if it is identified if I allow 
different autoregressive parameters in different states.

Thank you very much in advance!

Tak Wai Chau

*
*   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/