Josh,
You might be better off with an ARIMA (ARMAX) or a Newey regression
procedure. You could compare your residuals to see
which offers the better fit and/or forecast.
- Bob Yaffee
Robert A. Yaffee, Ph.D.
Research Professor
Shirley M. Ehrenkranz
School of Social Work
New York University
home address:
Apt 19-W
2100 Linwood Ave.
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
[email protected]
----- Original Message -----
From: Joshua Soong <[email protected]>
Date: Friday, February 10, 2006 1:26 pm
Subject: st: Prais-Winsten Estimation with more than 1 lag in AR
Disturbance (AR2+)
> Hi,
>
> I am trying to run the prais command in stata and I want to model the
> error disturbance term with 1 and 3 lags, like an AR(1 3) model. I
> believe the default lag is 1, but I did not see any option to
> change or
> add new lags to the estimation.
>
> Is Stata capable of doing this, or do I need to download another .ado
> file?
>
> Thanks,
> Josh
>
> ------------------------
> Joshua Soong
> Resolution Economics
> [email protected]
> O: (310) 275-9137 x.248
> M: (312) 485-1401
> www.resolutioneconomics.com
>
>
> *
> * For searches and help try:
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> * http://www.ats.ucla.edu/stat/stata/
>
*
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