Panel Estimation with AR-Errors

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HZem
Posts: 2
Joined: Thu Sep 20, 2018 4:09 am

Panel Estimation with AR-Errors

Postby HZem » Fri Sep 21, 2018 12:58 am

Dear Eviews-community,

The EViews 10 Feature list says that “Estimation with AR errors using nonlinear least squares on a transformed specification” should be possible. Unfortunately I wasn’t able to figure out how to program/estimate it. Could someone help me with this, especially in a panel context?

If I just type “eq_name.ls(cov=cxsur) y c x ar(1)” I get an AR-term in the cross-section but not AR-errors.

Thank you very much for your help

EViews Gareth
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Re: Panel Estimation with AR-Errors

Postby EViews Gareth » Fri Sep 21, 2018 5:51 am

HZem wrote:I get an AR-term in the cross-section but not AR-errors.



What does that mean?
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HZem
Posts: 2
Joined: Thu Sep 20, 2018 4:09 am

Re: Panel Estimation with AR-Errors

Postby HZem » Mon Sep 24, 2018 1:23 am

Dear Gareth,
thanks for your quick reply.
With "AR-term in the cross-section" I wanted to say that a lagged dependent variable is included in the regression. Actually, I'd like to estimate pooled GLS with a panel-wide AR(1) correction where the coefficient of the AR(1) process is common to all the panels.

The corresponding STATA-code would look like this: xtpcse y x , correlation(ar1) hetonly

Would be very nice, if you could help me with that.


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