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st: number of observations in xtregar


From   Pallab Mozumder <[email protected]>
To   [email protected]
Subject   st: number of observations in xtregar
Date   Sun, 24 Dec 2006 10:03:21 -0800 (PST)

Dear STATA Listers, 
Regards. I am running a panel data model in which I
have country as the panel variable and then I have
country specific data for three years (I use tsset
country year). First I use the Xtreg with the default
option (which is random effects) and I get the
results. However, as I suspect the possibility of some
serial correlation, I would like to try this panel
regression with autoregressive error structure. So I
run Xtregar with the default option (which is also
random effects) which, as you know, allows AR(1)
process in the error structure. I get the results but
the number of observations that are used are exactly
same in both cases. Isn�t it obvious that two of the
three periods would be used in the later case
(Xtregar) since the AR would need to use one of the
periods as a baseline. I checked these two
specifications with another dataset and the same thing
happens. Can anybody tell me why this is happening?
Thank you so much. Pallab


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