Re: st: second order serial correlation with no restrictions (i.e, rho2 not constrained by rho1)

[Willard Manning <w-manning@uchicago.edu>]

Judge et al, The Theory and Practice of Economietrics, 2nd Edition, Section 
8.2 provides several alternatives for the AR(2), including a GLS approach 
that is  easily programmed in STATA.


At 11:33 AM 8/22/2002 -0400, you wrote:

> Does anyone know how to do second order serial correlation where the rho's
> are not constrained. i.e.
>
> e(t) = rho1*e(t-1) + rho2*e(t-2) + u(t)
>
> where rho2 ~= rho1^2
>
> I'm interested in the case of an otherwise linear regression
>
> thanks, Todd
>
>
> Todd Schatzki
> LECG
> 350 Massachusetts Avenue, Suite 300
> Cambridge, MA  02139
> 617-761-0114
> 617-621-8018 (fax)
>
>
> *
> *   For searches and help try:
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Willard G. Manning
Professor
Dept. of Health Studies -- MC 2007
The University of Chicago
5841 So. Maryland Ave.
Chicago, IL  60637

Phone:  773-834-1971 (direct)
        773-702-2453 (department)

Fax:    773-702-1979

E-mail: w-manning@uchicago.edu

*
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