Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
You are getting different estimates because your arima command specifies an ARMAX model, that is, a model with ARMA(1,0) errors and an additional
regressor X. If you did not have the original regressor, then you could write the model either as an AR(1) model in y (with a lagged depvar) or
as a regression of y on x with AR(1) errors. But the arima that will reproduce your regress results, perfectly, is
arima y x L.y
which will give you large-sample standard errors rather than the finite-sample VCE from OLS.
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
* For searches and help try: