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


From   Alexander Gelber <gelber@fas.harvard.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: ARMA(1,1) with Multiple Panels
Date   Tue, 22 Aug 2006 13:43:43 -0400 (EDT)

Rodrigo,

Thank you for the suggestion.

I would like to run the regression for all of the panels at once.  In
other words, I do not want to estimate the ARMA(1,1) separately for each
panel ID variable.  (In my case, I have repeated observations over time
for a panel of states, so I would like to estimate the ARMA(1,1) over all
states at once.)

Is there a way to to this?

Best,

Alex





On Tue, 22 Aug 2006, Rodrigo A. Alfaro wrote:

> 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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