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Re: st: Re: Regressing the Habit Persistence Model


From   Anders Alexandersson <andersalex@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: Regressing the Habit Persistence Model
Date   Fri, 20 Aug 2010 10:03:40 -0400

Nabil, no -regress- is not suitable for serially correlated data.
Do you need serially lagged dependent variable(s) or are alternative
methods okay?
The references you provided referred to several habit persistence
models, which means I am still confused about what you want.
I suggest the time series command -prais- with the default option
rhotype(regress) which uses GLS rather than lagged dependent
variables.
If you need lagged dependent variables, consider -xtdpdsys-.

Anders Alexandersson
andersalex@gmail.com

On Thu, Aug 19, 2010 at 4:57 PM, Nabil Hashmi
<nabil.hashmi@compasspartners.org> wrote:
> 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
>> *
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