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]

st: Fwd: MA(1) error structure in xtdpd


From   Ari Dothan <ari.dothan@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Fwd: MA(1) error structure in xtdpd
Date   Fri, 23 Jul 2010 17:16:52 +0300

Hi all,

I understand that am AM(1) error is expressed as e_it+gamma*e_i,t-1.

1. Is this correct?
2. In all variants of the gmm procedures I have not seen the value of
gamma listed in the e-list and the r-list command returns empty. Is
the gamma calculated in MA(1) like rho is calculated in AR(1)
structures?
Thanks

--
Ari Dothan



-- 
Ari Dothan
*
*   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