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st: second order serial correlation with no restrictions (i.e, rho2 notconstrained by rho1)


From   TSchatzki@lecg.com
To   statalist@hsphsun2.harvard.edu
Subject   st: second order serial correlation with no restrictions (i.e, rho2 notconstrained by rho1)
Date   Thu, 22 Aug 2002 11:33:46 -0400

Does anyone know how to do second order serial correlation where the rho's
are not constrained. i.e.

e(t) = rho1*e(t-1) + rho2*e(t-2) + u(t)

where rho2 ~= rho1^2

I'm interested in the case of an otherwise linear regression

thanks, Todd


Todd Schatzki
LECG
350 Massachusetts Avenue, Suite 300
Cambridge, MA  02139
617-761-0114
617-621-8018 (fax)


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