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st: arima vs. regress

From   "Ferry, Danielle" <>
To   <>
Subject   st: arima vs. regress
Date   Fri, 3 Feb 2012 15:37:10 -0500

Dear Statalisters,

I imagine I am not the first to ask this, but I haven't been able to
find anything in the Statalist archives. Why do the following not
produce more or less similar coefficient estimates? In the data that I
am working with, the signs are even different. 

arima y x, ar(1)
regress y x L.y

Many thanks,

Danielle H. Ferry, PhD
Associate Director
Capital Markets Research
212.553.7781 tel

Moody's Analytics
7 World Trade Center
250 Greenwich Street
New York, NY 10007

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