Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
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   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


*
*   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index