(I am posting the same question again, as some has replied my previous
question with his own question...)
Hi everyone,
I am interested in estimating this type of random effects panel:
y_it = x'_it * beta + u_it + e_it
u_it = rho * u_it-1 + d_it rho belongs to (-1, 1)
where:
u and e are independent and normally zero-mean distributed.
d is also independently normally zero-mean distributed.
So, I want random effects for group i to be correlated in t, following an
AR(1) process.
I am using the mle command, including correlation=corAR1:
lme(asis~prec+pobl+gola+entr,random=~1|codi,correlation=corAR1(0.8
,form=~temp|codi)))
i = codi
t = temp
I am not sure whether the AR(1) process is applied to the random effects
(u_it) or the error term (e_it)... Any idea?
Thanks.
G
--
Guillermo Villa
Universidad Carlos III de Madrid
Business Economics Department
Office 6.0.26
Madrid, 126
28903, Getafe (Madrid)
SPAIN
Email: [EMAIL PROTECTED]
Phone: (+34) 916249772
Mobil: (+34) 655112743
Fax: (+34) 916249607
Skype: guillermo.villa
Website: www.guillermovilla.com
--
Guillermo Villa
Universidad Carlos III de Madrid
Business Economics Department
Office 6.0.26
Madrid, 126
28903, Getafe (Madrid)
SPAIN
Email: [EMAIL PROTECTED]
Phone: (+34) 916249772
Mobil: (+34) 655112743
Fax: (+34) 916249607
Skype: guillermo.villa
Website: www.guillermovilla.com
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