Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: Fwd: MA(1) error structure in xtdpd
From
Ari Dothan <[email protected]>
To
[email protected]
Subject
st: Fwd: MA(1) error structure in xtdpd
Date
Fri, 23 Jul 2010 17:16:52 +0300
Hi all,
I understand that am AM(1) error is expressed as e_it+gamma*e_i,t-1.
1. Is this correct?
2. In all variants of the gmm procedures I have not seen the value of
gamma listed in the e-list and the r-list command returns empty. Is
the gamma calculated in MA(1) like rho is calculated in AR(1)
structures?
Thanks
--
Ari Dothan
--
Ari Dothan
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/