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st: fixed effects with error autocorrelation coefficient that varies across larger units that panels nest into?


From   Adam Storeygard <adam.storeygard@tufts.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: fixed effects with error autocorrelation coefficient that varies across larger units that panels nest into?
Date   Thu, 20 Feb 2014 15:54:11 -0500

Dear Statalist,

Is there a Stata command (ideally accessible in version 12.1) implementing a fixed effects (within) estimator of a panel model with AR(1) disturbances such that the autocorrelation coefficient is allowed to vary across larger units that the panel units nest into?

Somewhat more formally, I would like to estimate:

y_it = a + x_it * B + u_i + e_it
where
e_it = rho_c * e_i,t-1 + z_it
and z_it is independent and identically distributed. i indexes individuals, c indexes cities (individuals nest within cities), and t indexes years. I would be running this on a balanced panel of 100 to 1000 individuals (nested in 5 to 50 cities) for 10 to 20 years.

-xtregar- (version 1.5.2 27jan2012) would be suitable except that it does not, as far as I can tell, allow the autocorrelation coefficient rho to vary by city. -xtgls- (version 2.4.2 03feb2011) has the -corr(psar1)- option allowing the autocorrelation coefficient to vary by individual, which does not impose as much structure as I would like, and is not a fixed effects (within) estimator.

Thank you for your consideration,

Adam
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