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st: MA(1) process


From   Ari Dothan <ari.dothan@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: MA(1) process
Date   Fri, 9 Jul 2010 18:29:33 +0300

Hi Statalisters,
I am using a gmm procedure for dynamic panels which makes it possible
to fit a model with an MA(1) error structure (moving average (1st
order). Most other procedures, such as fixed effects, use the AR(1)
error structure.
Could anyone explain me in layman’s terms what is the difference
between the MA(1) and the AR(1) error structures? Why, and when,
should one be used rather than the other?
Thanks
--
Ari Dothan

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