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st: midas
Versions of Ben Dwamena's -midas- program that will work on both
Stata 10 and Stata 9 may now be downloaded from the SSC Archive. -ssc
describe midas- for details.
Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html
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* http://www.ats.ucla.edu/stat/stata/