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From |
Michael Hanson <mshanson@mac.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Constant terms in AR1 error regressions |

Date |
Thu, 18 Dec 2008 17:06:57 -0500 |

On Dec 18, 2008, at 9:43 AM, Clive Nicholas wrote:

Michael Hanson replied:An "error regression equation" is a little ambiguous: after all,the errorsare unobservable (and thus cannot be "put" into a regression),while theresiduals are by construction mean zero, so a constant term isunnecessary.Although you could run a regression on the residuals of a previously estimated model (and many tests of serial dependence have that form),typically what one does is model the (assumed) auto-regressiveproperties ofthe error term as part of the specification to be estimated -- in aunivariate or single-equation context, this can be accomplished inStatawith the -arima- command.I was pressed was for time when posting this query, so apologies for using the wrong terminology: I did, of course, mean 'residuals'. Although you say a constant term in such residual-on-residual regressions are unnecesary, a constant term nevertheless appears, and my task is to do this in -reg-, not -arima-. Essentially, what I'm asking is is it best to leave it there or to apply the -nocons- option?

Hope this helps, Mike * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Constant terms in AR1 error regressions***From:*"Clive Nicholas" <clivelists@googlemail.com>

**Re: st: Constant terms in AR1 error regressions***From:*Michael Hanson <mshanson@mac.com>

**References**:**st: Constant terms in AR1 error regressions***From:*"Clive Nicholas" <clivelists@googlemail.com>

**Re: st: Constant terms in AR1 error regressions***From:*Michael Hanson <mshanson@mac.com>

**Re: st: Constant terms in AR1 error regressions***From:*"Clive Nicholas" <clivelists@googlemail.com>

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