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st: re: inference on coefficients


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: inference on coefficients
Date   Sun, 4 Nov 2007 10:55:51 -0500

Ben says

When I use Random effects linear models with and AR(1) disturbance
estimation, I got:

1. dropped constant
2. rho_ar | -.085 (estimated autocorrelation coefficient)
sigma_u | 0
sigma_e | 348.752509
rho_fov | 0 (fraction of variance due to u_i)



I don't know what command Ben has used; -xtreg- will not estimate a model with an AR(1) correction. Was this output from -xtregar-? If so, which option was used to define the nature of the AR(1) process?

Per the Statalist FAQ, you should spell out what you said and what Stata said in response.


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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