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Re: st: Panels and ARMA(1,1)


From   David Greenberg <dg4@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Panels and ARMA(1,1)
Date   Tue, 22 Jun 2004 22:56:15 -0400

With panel data you specify an ARMA(1,1) model by introducing a lagged endogenous variable, and first-order serial correlation of errors, i.e AR(1). If y is the dependent variable, the lagged endogenous variable can be specified as L.y.  - David Greenberg, Sociology Department, New York University

----- Original Message -----
From: baxa0002 <baxa0002@umn.edu>
Date: Tuesday, June 22, 2004 8:46 pm
Subject: st: Panels and ARMA(1,1)

>  Hi -- How do we handle ARMA (1,1) in a panel data?
> Thanks,
> Stata User
> 
> 
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