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re: st: re: Solving the moving average in the error structure in a

From   Kit Baum <>
Subject   re: st: re: Solving the moving average in the error structure in a
Date   Mon, 1 Mar 2010 10:58:52 -0500

Carolina said

But now, I would like to correct the bias in the "estimates" (the
coefficients) generated by the MA error structure. I was wondering If I can
use xtslg. Though, xtslg has not the option bw(5) and I am not sure how to
set up the within panel correlations. In particular, I am not very sure how
to set up the  corr(corr) and  rhotype(calc) options. If you can advise me
in this respect I would really appreciate it!

There is no reason for a MA error structure to induce bias in the OLS coefficients. Departures from IID errors do not generally cause bias or inconsistency in the point estimates. They mess up the VCE. The use of GLS techniques is motivated by the desire to get unbiased point and interval estimates.

I'm not sure what 'xtslg' is.

Kit Baum   |   Boston College Economics & DIW Berlin   |
                              An Introduction to Stata Programming  |
   An Introduction to Modern Econometrics Using Stata  |

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