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You are getting different estimates because your arima command specifies an ARMAX model, that is, a model with ARMA(1,0) errors and an additional regressor X. If you did not have the original regressor, then you could write the model either as an AR(1) model in y (with a lagged depvar) or as a regression of y on x with AR(1) errors. But the arima that will reproduce your regress results, perfectly, is arima y x L.y which will give you large-sample standard errors rather than the finite-sample VCE from OLS. Kit Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * 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/