RHO_XTREGAR: Stata module to estimate a consistent and asymptotically unbiased autocorrelation coefficient for xtregar fixed-effects or random-effects linear model with an AR(1) disturbance

Alexandre Cazenave-Lacroutz () and Vieu Lin
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Alexandre Cazenave-Lacroutz: CREST-INSEE

Statistical Software Components from Boston College Department of Economics

Abstract: rho_xtregar estimates the autoregressive parameter for cross-sectional time-series regression models when the disturbance term is first-order autoregressive. It generalizes to the unbalanced case the method exposed in Bargava, Franzini and Narendranathan (Rev.Ec.Stud. 1982). As such, it returns r(rho_BFN). rho_xtregar can accommodate unbalanced panels whose observations are unequally spaced over time.

Language: Stata
Requires: Stata version 10 and moremata from SSC (q.v.)
Keywords: panel data; fixed effects; random effects; autocorrelation; xtregar (search for similar items in EconPapers)
Date: 2019-09-27
Note: This module should be installed from within Stata by typing "ssc install rho_xtregar". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/r/rho_xtregar.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rho_xtregar.sthlp help file (text/plain)

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