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st: Can GLLAMM Allow for Autocorrelation?


From   "Zhang, Sisi" <SZhang@urban.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Can GLLAMM Allow for Autocorrelation?
Date   Mon, 11 Oct 2010 18:34:03 -0400

Dear Statalist,

I use gllamm to estimate the following model:

y(it)=Xb+a(t)mu(i)+v(it)           eq(1)
v(it)=rho*v(i,t-1)+e(it)           eq(2)

The model works well when I estimate eq(1), assuming v(it) is iid. However,
I would like to allow autocorrelations in v(it), such as AR(1) process in
eq(2). Could gllamm do that? A further question is, could gllamm estimate a
model with both autocorrelation and loading factors on v(it) as the
following model? Thanks a lot!!

y(it)=Xb+a(t)mu(i)+b(t)v(it)       eq(1)
v(it)=rho*v(i,t-1)+e(it)           eq(2)


Best,

Sisi
 

 


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