Tuesday, February 28, 2006

Re: st: XTREGAR

Gerhard Kempkes <Gerhard.Kempkes@tu-dresden.de> asked about the algorithm implemented in -xtregar-.

-xtregar-

1. estimates rho on within transformed data;

2. runs the Baltagi-Wu(1999) C_i(rho) transform on the original data;

3. runs pooled OLS on the C_i(rho) transformed data, which creates residuals u^*;

4. estimates the variance components from u^*, per the Baltagi-Wu (1999) formulas repeated on pages 322-323 of the Stata 9 XT manual;

5. transforms the C_i(rho) transformed data by the GLS transform given on page 323 of the Stata 9 XT manual, and runs OLS on this transformed data.

The Bhargava et al Durbin-Watson statistic is reported when the -lbi- option is specified and it is saved as e(d1).

--David ddrukker@stata.com

References ----------

Baltagi, B. and P. Wu. 1999. Unequally spaced panel data regressions with AR(1) disturbances. Econometric Theory 15:814-823 * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/


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