Estimation in a Panel Data with Individual Effects and AR(p) Remainder Disturbances

Long Liu ()
Additional contact information
Long Liu: the University of Texas at San Antonio

2015 Stata Conference from Stata Users Group

Abstract: This presentation introduces a new user-written Stata commands xtregarp. This command considers the problem of estimation in a panel data model with both individual effects and AR(p) remainder disturbances. It utilizes a simple exact transformation for the AR(p) time series process derived by Baltagi and Li (1994) and obtains the generalized least squares estimator for this panel model as a least squares regression. This command allows the individual effects to be either random effects or fixed effects. The performance of this estimator is illustrated using an empirical example.

Date: 2015-08-02
References: Add references at CitEc
Citations:

Downloads: (external link)
http://repec.org/col2015/columbus15_liu.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:scon15:12

Access Statistics for this paper

More papers in 2015 Stata Conference from Stata Users Group Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().