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st: Multi-level modeling with AR(1)

From   "Matthew McAtee" <>
To   <>
Subject   st: Multi-level modeling with AR(1)
Date   Mon, 3 Oct 2005 23:02:55 -0400

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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