I have an unbalanced panel for 15 years and 500 firms. I want to estimate the autocorrelation for the following process u_t = a_t + u_{t-1} + e_t where e is the error term. I tries
but I am not.
There is a paper by Han and Phillips (2010) for panel autoregression which was implemented in the package xtregdhp. SO i also tried
They give widely different answers and I am not sure which one is correct. Anyone has any idea on the correct implemention?
Code:
xtdpd u L.u, dgmmiv(L.u)
There is a paper by Han and Phillips (2010) for panel autoregression which was implemented in the package xtregdhp. SO i also tried
Code:
du = D.u Lag_du = L.du xtregdhp du Lag.u , id(gvkey) it(fyear)
