Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: Can GLLAMM Allow for Autocorrelation?
From
"Zhang, Sisi" <[email protected]>
To
<[email protected]>
Subject
st: Can GLLAMM Allow for Autocorrelation?
Date
Mon, 11 Oct 2010 18:34:03 -0400
Dear Statalist,
I use gllamm to estimate the following model:
y(it)=Xb+a(t)mu(i)+v(it) eq(1)
v(it)=rho*v(i,t-1)+e(it) eq(2)
The model works well when I estimate eq(1), assuming v(it) is iid. However,
I would like to allow autocorrelations in v(it), such as AR(1) process in
eq(2). Could gllamm do that? A further question is, could gllamm estimate a
model with both autocorrelation and loading factors on v(it) as the
following model? Thanks a lot!!
y(it)=Xb+a(t)mu(i)+b(t)v(it) eq(1)
v(it)=rho*v(i,t-1)+e(it) eq(2)
Best,
Sisi
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/