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Re: st: second order serial correlation with no restrictions (i.e, rho2 not constrained by rho1)


From   Willard Manning <w-manning@uchicago.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: second order serial correlation with no restrictions (i.e, rho2 not constrained by rho1)
Date   Fri, 23 Aug 2002 09:30:26 -0500

Judge et al, The Theory and Practice of Economietrics, 2nd Edition, Section 8.2 provides several alternatives for the AR(2), including a GLS approach that is easily programmed in STATA.


At 11:33 AM 8/22/2002 -0400, you wrote:

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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Willard G. Manning
Professor
Dept. of Health Studies -- MC 2007
The University of Chicago
5841 So. Maryland Ave.
Chicago, IL  60637

Phone:  773-834-1971 (direct)
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Fax:    773-702-1979

E-mail: w-manning@uchicago.edu

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