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