Which Stata commands should I use to estimate an ARMA(1,1) process in a
panel dataset with multiple panels?
The problem is that when I just use the normal command to estimate an
ARMA(1,1), it gives me an error message:
arima dep ind, arima(1,0,1)
sample may not include multiple panels
r(459);
Apparently there is a way to "loop" over panels, but I am confused about
what this means or how it would be implemented in Stata. Or is there
another way to do it?
I would very much appreciate any help!
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