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Re: st: Panel Model w/ AR(1) Disturbance -- Can I do an AR(2)?


From   "Rodrigo A. Alfaro" <ralfaro76@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Panel Model w/ AR(1) Disturbance -- Can I do an AR(2)?
Date   Tue, 7 Nov 2006 23:29:24 -0500

Someone suggested that you can use -arima- in panel data
using the option conditional. 

In addition, you can run the unrestricted model (losing 2 times
# of cross-sectional observations) -xtreg y L(1/2).y L(0/2).x, fe-

Rodrigo.


----- Original Message ----- 
From: "David Jacobs" <jacobs.184@sociology.osu.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, November 07, 2006 8:20 PM
Subject: Re: st: Panel Model w/ AR(1) Disturbance -- Can I do an AR(2)?


I use both EViews and Stata.  I don't think you can correct for 
serial correlation at more than one lag in Stata.

I'd be extremely interested if anyone on the list knows better.  If 
so, please let us both know exactly how to do this.

Maj. Burrell, why don't you use EViews?  Although Stata is a great 
program, the learning costs certainly are lower with EViews.

Dave Jacobs

At 07:59 PM 11/7/2006, you wrote:
>Hello,
>I'm a student trying to finish the data analysis portion of my thesis,
>which involves running a panel model on Military Service statistics to
>determine the effects of the retirement plan on retention efforts.  My
>thesis advisor ran the data in EVIEWS with outstanding results, and I'm
>trying to duplicate this in Stata.  I'm running a Panel Model Linear
>Regression w/ Fixed Effects using the AR(1) function in Stata.  Using
>EVIEWS my thesis advisor ran the same model with both an AR(1) and
>AR(2).  How can I do this in Stata, all I see under Panel Model
>regression is the AR(1) function.  I have to use the Panel Model (i.e.,
>ARIMA won't work because of the data I'm using).
>Thanks in advance for any help you can provide.
>
>
>DERREN P. , Maj, USAF
>Student, AFIT Cost Analysis Program
>Wright-Patterson Air Force Base, OH
>Derren.burrell@afit.edu
>
>
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