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Re: st: Re: Regressing the Habit Persistence Model


From   Nabil Hashmi <nabil.hashmi@compasspartners.org>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: Regressing the Habit Persistence Model
Date   Thu, 19 Aug 2010 16:57:27 -0400

The following two links have more information about what I mean by the
habit persistence model. Consumption in one time period is partially
determined by consumption in the time period that came immediately
before it, i.e. I want to regress at least one lagged dependent
variable. My best guess is that this would be done through the
'regress' command, although I am not sure if there is another, more
suitable command. If using the regress command, I would like to find a
way to include information about the coefficients and standard errors
of rho and sigma-squared.

http://books.google.com/books?id=MqDHYpMbxsAC&pg=PA338&lpg=PA338&dq=Brown%27s+habit+persistence+model&source=bl&ots=IEtV0dde0g&sig=zhLvqX5gMDP0sr4xUi_ID-CI4sU&hl=en&ei=SZltTPXCC4GKlwe38ZyODg&sa=X&oi=book_result&ct=result&resnum=8&ved=0CEQQ6AEwBw#v=onepage&q=Brown%27s%20habit%20persistence%20model&f=false

http://www.columbia.edu/~ss3501/research/habit_persistence.pdf

Thanks!

On Thu, Aug 19, 2010 at 4:48 PM, Anders Alexandersson
<andersalex@gmail.com> wrote:
> Nabil, please provide a reference and/or a description of the "habit
> persistence" model.
> Are you referring to the -regress- command or to some other Stata
> regression command?
>
> Anders Alexandersson
> andersalex@gmail.com
>
> On Thu, Aug 19, 2010 at 4:19 PM, Nabil Hashmi
> <nabil.hashmi@compasspartners.org> wrote:
>> I am having difficulty regressing a habit persistence model in Stata,
>> but I am having some difficulties. I am trying to replicate results
>> from another study, so I would also like to have the rho and
>> sigma-squared values included in the output of the regression so I can
>> see if my results do replicate the initial findings. What is the best
>> way to regress a habit persistence model in Stata? Thanks!
>>
>> --
>> Nabil Hashmi
>> Principal of Finance, Compass Partners | www.compasspartners.org
>> Georgetown University | Walsh School of Foreign Service | Class of
>> 2011 | International Political Economy
>> (860) 944-7379
> *
> *   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/
>



-- 
Nabil Hashmi
Principal of Finance, Compass Partners | www.compasspartners.org
Georgetown University | Walsh School of Foreign Service | Class of
2011 | International Political Economy
(860) 944-7379

*
*   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/


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