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st: Multi-level modeling with AR(1)
I am running models in Stata 9.1 using -xtmixed-.
I would like to run a 2-level model (sampling times within persons) using a
first-order autoregressive disturbance term, while also specifying random
and nonrandomly varying coefficients.
It appears that -xtmixed- does not have AR(1) as a covariance modeling
option, and the alternative -xtregar- does not allow for nonrandomly varying
coefficients (it appears).
Am I stuck with a limitation in Stata, or is there a way using xtmixed,
xtregar, or another command to do what I want?
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