Re: st: XTREGAR

["David M. Drukker" <ddrukker@stata.com>]

Gerhard Kempkes <Gerhard.Kempkes@tu-dresden.de> asked about the algorithm 
implemented in -xtregar-.

-xtregar-

	1. estimates rho on within transformed data;

	2. runs the Baltagi-Wu(1999) C_i(rho) transform on the original data;

	3. runs pooled OLS on the C_i(rho) transformed data, which creates
	residuals u^*;

	4. estimates the variance components from u^*, per the Baltagi-Wu
	(1999) formulas repeated on pages 322-323 of the Stata 9 XT
        manual;

        5. transforms the C_i(rho) transformed data by the GLS transform
        given on page 323 of the Stata 9 XT manual, and runs OLS on this
        transformed data.


The Bhargava et al Durbin-Watson statistic is reported when the -lbi- option
is specified and it is saved as e(d1).

     --David
       ddrukker@stata.com

References
----------

Baltagi, B. and P. Wu. 1999.  Unequally spaced panel data regressions with 
AR(1) disturbances.  Econometric Theory 15:814-823
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