Re: st: Estimating a model allowing for AR(1) in residuals with weights in panel

[David Jacobs <jacobs.184@sociology.osu.edu>]

Xtregar fe does allow for aweights (and probably fweights) if you use 
two of the options for estimating the AR1 term.

Check the help file or the manual.

Probably, however, you will find that xtpcse will better suit your 
needs if you have a large enough T for this estimator.  Note that 
Beck and Katz do NOT recommend the PSAR1 option in xtpcse that 
estimates different ar1 corrections for each case (or state in your study).

Dave Jacobs

At 09:50 AM 4/12/2006, you wrote:

> Hi, Statalist users,
>
> I have a question about estimating a model allowing for AR(1) in 
> residuals with weights.
>
> I have a dataset with state-year level data. The model is like this:
>
> y_it= a + b*policy_it + c_i + d_t + u_it
>
> where i stands for states and t states for year. policy is a policy 
> implemented at different time in different states. c_i are state 
> dummies (all states except one), and d_t are year dummies (all year 
> except one), thus it is a difference in difference model. I also 
> want to do this regression with state population size as weights.
>
> If u_it is serially correlated for each state, and I would like to 
> allow for AR(1) for this u_it over time for each state to obtain 
> parameter estimates, what should I do in Stata?
>
> I have thought of xtregar, fe, but it does not allow weights.
>
> BTW, I think the convention is that we have the autoregressive 
> parameter the same across all states. I wonder if it is identified 
> if I allow different autoregressive parameters in different states.
>
> Thank you very much in advance!
>
> Tak Wai Chau
>
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