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From |
"Victor Waters" <[email protected]> |

To |
[email protected] |

Subject |
st: Not Directly Stata Related, But Please Help |

Date |
Wed, 12 Mar 2008 17:55:06 -0500 |

Apologies for question not directly related to STATA. If you think I should not have posted this here, please tell me where to ask. Thanks My question is about deriving a formula in Cameron and Trivedi Microeconometrics 2005. On page 763 the following equations and text appears. ------------------------- y_it = gamma y_i,t-1 + alpha_i + epsilon_it, i = 1 to N, t=2, .. T Cor(y_it, y_i,t-1) = Cor [gamma y_i,t-1 + alpha_i + epsilon_it, y_i,t-1] = gamma + Cor [ alpha_i , y_i,t-1] = gamma + (1- gamma) / 1 + (1- gamma) sigma_epsilon ^2 / (1 + gamma) sigma_alpha ^2), (22.33) where the second equlaity assume cor [epsilon_it, y_i,t-1] = 0 and the third equality is obtained after some algerbra for the special case of randome effects with epsilon_ii iid [ 0, sigma_epsilon ^2] and alpha_i iid [0, sigma_alpha ^2] ------------------------ In the next page they say that when gamma = 0. Cor (y_it, yi, t-1) simplifies to sigma_alpha^2 / (sigma_alpha ^2 _ sigma_epsilon ^2) The last line suggests that may be extra parentheses are needed in the denominator of 22.33. I thought that I understood this material, but I am frutstated that I cannot derive 22.33. It doesn't seem all that complicated, but my inability to derive it makes me suspect that I did not understand this material as well as I should. I will appreciate it if you could help me. Best regards, Victor Waters * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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