Dave,
Thanks!
I have also seen xtgls. Indeed what are the differences between
xtpcse? Conceptually are there any difference in the adjustment
method than xtregar?
Thanks!
Tak Wai Chau
David Jacobs wrote:
Xtregar fe does allow for aweights (and probably fweights) if you
use two of the options for estimating the AR1 term.
Check the help file or the manual.
Probably, however, you will find that xtpcse will better suit your
needs if you have a large enough T for this estimator. Note that
Beck and Katz do NOT recommend the PSAR1 option in xtpcse that
estimates different ar1 corrections for each case (or state in your
study).
Dave Jacobs
At 09:50 AM 4/12/2006, you wrote:
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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