Stata command to estimate a dynamic SAR model

[Kodi Hannon]

Hello everybody!

I have a panel data and I would want to estimate a SAR model which also includes as control the lagged dependent variable y_(it-1), that is, a dynamic SAR.

I normally utilize the xsmle command to estimate the (non-dynamic) SAR:
xsmle $ylist $xlist, wmat(W) model(sar) effects

In fact, in the sthlp file for the xsmle command, it is mentioned that "the xsmle fits the following nested models... among which the dynamic SAR". Nonetheless, it is not specified anywhere how I can obtain it.

Do you know how to estimate the dynamic SAR with the xsmle command or through another Stata command?

Thank you a lot.

Kodi

[Sebastian Kripfganz]

xsmle has the option dlag(1) for this purpose. However, it is not entirely clear to me whether xsmle applies a bias-correction in this case or not. I have seen some weird results when using this option that left me quite a bit puzzled.

[Kodi Hannon]

Thanks a lot Sebastian, this is exactly what I was looking for!
Kodi