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st: Estimating a model allowing for AR(1) in residuals with weights inpanel


From   Tak-wai Chau <twchau@frontiernet.net>
To   statalist@hsphsun2.harvard.edu
Subject   st: Estimating a model allowing for AR(1) in residuals with weights inpanel
Date   Wed, 12 Apr 2006 09:50:55 -0400

Hi, Statalist users,

I have a question about estimating a model allowing for AR(1) in residuals with weights.

I have a dataset with state-year level data. The model is like this:

y_it= a + b*policy_it + c_i + d_t + u_it

where i stands for states and t states for year. policy is a policy implemented at different time in different states. c_i are state dummies (all states except one), and d_t are year dummies (all year except one), thus it is a difference in difference model. I also want to do this regression with state population size as weights.

If u_it is serially correlated for each state, and I would like to allow for AR(1) for this u_it over time for each state to obtain parameter estimates, what should I do in Stata?

I have thought of xtregar, fe, but it does not allow weights.

BTW, I think the convention is that we have the autoregressive parameter the same across all states. I wonder if it is identified if I allow different autoregressive parameters in different states.

Thank you very much in advance!

Tak Wai Chau

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