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st: psar1 - is there a way to test?


From   "Bradley, Steven W" <swb@indiana.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: psar1 - is there a way to test?
Date   Thu, 13 Oct 2005 09:03:47 -0500

I am using xtgls and am trying to determine whether psar1 or ar1 best represents my data.  I have a 960 new firms and a T of 9 years.  I could argue from a theoretical standpoint that individual firms from a number of different industries could have different AR1's.
 
xttest1 may test for this but I received an error due to an unbalanced panel.
 
Any recommendations for testing, comparing results that would help me make a decision?
 
Thanks for your help!
 
Steve

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