Re: st:AR(1) error notice: sample may not include multiple panels

[Amanda Fu <mandy.fu1@gmail.com>]

Hello Mr. Nicholas and Mr. Herron,

Thank you very much for your suggestions.

After seeing the above suggestions, I checked chapter 9 in Cameron and
Trivedi again and saw there was some useful discussion. I am sorry
that I missed this this morning. I focused on searching stuff related
to "time series" in that book.

In addition to Arellano-Bond estimator, would it be fine if I use
Cochrane–Orcutt estimation (-prais, cort) to estimate AR(1)?

Thank you!
Amanda

On Sat, Mar 17, 2012 at 9:13 PM, Richard Herron
<richard.c.herron@gmail.com> wrote:
> This question came up yesterday, too. Here was my response:
>
> Panels require strict exogeneity for consistency, so you can't have
> lagged dependent variables on the right hand side (i.e., dynamic
> panels aren't allowed).
>
> If you think about the within estimator for panel data, then you have
> y_{i, t-1} - mean(y_i) on the right hand side, which is not orthogonal
> to e_{i,t} because mean(y_i) contains y_{i,t} from the left hand side.
>
> There are some solutions to this in -xtabond-, which does the Arellano
> and Bond estimator. Arellano and Bond correct the endogeneity by
> estimating the dynamic panel in first differences and using lags as
> instruments and GMM to take care of over-identification.
>
> Chapter 9 in Cameron and Trivedi's "Microeconometrics Using Stata"
> provides a handful of techniques for estimating dynamic panel models.
> Chapters 21 and 22 in their Microeconometrics textbook provides more
> theory. HTH.
>
> On Sat, Mar 17, 2012 at 18:02, Amanda Fu <mandy.fu1@gmail.com> wrote:
>> Dear Statalists,
>>
>> Sorry for bothering you with  a question about a simple AR(1)
>> estimation. I searched related discussion in the archives , but still
>> cannot figure out why the error message comes out. Any suggestions
>> will be helpful.
>>
>> I want to estimate a univarate AR(1) model (without any controls). The
>> data set is a panel data,  including 1000 observations for 5 years
>> (200 variables. The one I am interested is enroll taking values 0,1) .
>> . tsset id years
>> . arima enrollment,ar(1)
>> "sample may not include multiple panels"
>>
>> I must have missed something here. Can someone give me some hints?
>> In addition, instead of using ARIMA, may I know if there is any easy
>> alternative to do the AR(1) ?
>>
>> Thank you very much!
>>
>> Amanda
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