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st: Re: ARMA(1,1) with Multiple Panels


From   "Rodrigo A. Alfaro" <ralfaro76@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: ARMA(1,1) with Multiple Panels
Date   Tue, 22 Aug 2006 13:34:41 -0400

Alexander, -by id: arima dep ind, arima(1,0,1)- will run 
an ARMA(1,1) for each individual/country/firm/etc.
Is this what you want? R.

----- Original Message ----- 
From: "Alexander Gelber" <gelber@fas.harvard.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, August 22, 2006 11:21 AM
Subject: st: ARMA(1,1) with Multiple Panels


Which Stata commands should I use to estimate an ARMA(1,1)  process in a
panel dataset with multiple panels?

The problem is that when I just use the normal command to estimate an
ARMA(1,1), it gives me an error message:

 arima dep ind, arima(1,0,1)
sample may not include multiple panels
r(459);

Apparently there is a way to "loop" over panels, but I am confused about
what this means or how it would be implemented in Stata.  Or is there
another way to do it?

I would very much appreciate any help!
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