Friday, March 03, 2006

st: XTREGAR

Hi,

I am working with a long narrow panel (fixed effects) and had to remove serially correlated errors with xtregar.

Now, there remain two questions after having read the xtregar chapter in Stata manual xt:

(1) I wonder what procedure Stata actually implements. After having read chapter xtregar in stata manual xt, there remain two possibilities: (a) stata estimates roh, stata does a Cochrane-Orcutt transformation of each panel, stata then removes the within panel means and adds back the overall mean for each variable and estimates the coefficients using OLS on the transformed data or (b) stata estimates roh, then stata uses the Baltagi and Wu (1999) transformation and after that stata transforms the data that comes out of the B+W(1999) transformation. OLS is then run on this transformation

(2) Is there a possibility to obtain the Bhargava et al. DW of the xtregar estimation (after the xtregar procedure has been applied)?

Thanks a lot! gerhard

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