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Re: st: Can GLLAMM Allow for Autocorrelation?
From
Stas Kolenikov <[email protected]>
To
[email protected]
Subject
Re: st: Can GLLAMM Allow for Autocorrelation?
Date
Mon, 11 Oct 2010 22:54:15 -0500
Looks more like a state-space model, see -sspace- in Stata 11. Talk to
Austin :))
On Mon, Oct 11, 2010 at 5:34 PM, Zhang, Sisi <[email protected]> wrote:
> Dear Statalist,
>
> I use gllamm to estimate the following model:
>
> y(it)=Xb+a(t)mu(i)+v(it) eq(1)
> v(it)=rho*v(i,t-1)+e(it) eq(2)
>
> The model works well when I estimate eq(1), assuming v(it) is iid. However,
> I would like to allow autocorrelations in v(it), such as AR(1) process in
> eq(2). Could gllamm do that? A further question is, could gllamm estimate a
> model with both autocorrelation and loading factors on v(it) as the
> following model? Thanks a lot!!
>
> y(it)=Xb+a(t)mu(i)+b(t)v(it) eq(1)
> v(it)=rho*v(i,t-1)+e(it) eq(2)
>
>
> Best,
>
> Sisi
>
>
>
>
>
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>
--
Stas Kolenikov, also found at http://stas.kolenikov.name
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*
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