REG3 (simultaneous regression) with autoregressive process

[Steven Archambault]

Hi Folks,

I have a time series data set, and was hoping somebody could point me in the direction of a command for a three-stage regression that incorporates an autoregressive process. IVREG (and IVREG2) do have an AR option. Perhaps there is a way to do that with the reg3? Thanks folks.

Cheers,
Steve

[Phil Bromiley]

You can do this in sem and maybe in user-written cmp. The two stage estimators are consistent but not as efficient as 3SLS (assuming all the equations are correctly specified).

[Steven Archambault]

Thank you Phil. Unfortunately, I have not been able to figure out how to do it in either one of these packages. Any advice? The help files don’t seem to mention AR.