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


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Panel Model w/ AR(1) Disturbance -- Can I do an AR(2)?
Date   Wed, 8 Nov 2006 09:26:28 -0000

Dave, Derren,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> David Jacobs
> Sent: Wednesday, November 08, 2006 1:21 AM
> To: statalist@hsphsun2.harvard.edu
> 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.

Not so.  In the panel context, cluster-robust SEs will be robust to
arbitrary serial correlation.  Very easy to implement, and if the new
results are as strong as the original, they will also be superious in
the sense that they are more robust - the original results depend on the
AR(1) specification being correct.

Cheers,
Mark

Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University
Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3296 fax
http://www.sml.hw.ac.uk/cert


> 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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