xtregar: SE of rho?

[Doug Bujakowski]

I'm estimating a model using xtregar, fe. The results include an estimate of rho (rho_ar), but I can't seem to figure out how to view the standard error of this estimate. Is it stored in e(.) somewhere? Or is there another way I can retrieve it? Please help.

[William Lisowski]

The Methods and Formulas section of the xtregar documentation tells us to see the Methods and Formulas section of the prais documentation for details about the calculation of ρ, and that in turn tells us

All reported statistics are based on the ρ-transformed variables, and ρ is assumed to be estimated without error. See Judge et al. (1985) for details.

The documentation is included in the Stata Time Series Reference Manual PDF included in your Stata installation and accessible from Stata's Help menu.