Estimation in a Panel Data with Individual Effects and AR(p) Remainder Disturbances

This presentation introduces a new user-written Stata commands xtregarp. This command considers the problem of estimation in a panel data model with both individual effects and AR(p) remainder disturbances. It utilizes a simple exact transformation for the AR(p) time series process derived by Baltagi and Li (1994) and obtains the generalized least squares estimator for this panel model as a least squares regression. This command allows the individual effects to be either random effects or fixed effects. The performance of this estimator is illustrated using an empirical example.