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st: OLS with AR1 errors


From   Saul Lach <[email protected]>
To   [email protected]
Subject   st: OLS with AR1 errors
Date   Wed, 07 Jan 2004 12:44:08 +0200

I have panel across individuals and time data and I want to estimate the
parameters of a linear model using OLS on the pooled data assuming that
the errors follow an AR1 process for each individual. Does anybody know
where I can get a program that does this?  As far as I understand the
command xtpcse produces a GLS (prais-weinstein) estimator,  not the OLS
estimator.
Thanks for your help
Saul


--
***********************************************************************************************

Saul Lach
Dept. of Economics                     Tel: 972-2-5883253
The Hebrew University                Fax: 972-2-5816071 (Israel)
Jerusalem 91905                         Fax: (208)441-6752 (USA)
Israel                                             E-mail:
[email protected]

Home page: http://economics.huji.ac.il/facultye/saul/saul.html


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