Hello everyone!
I have a panel data for 23 countries for period of 1985-2007.I am trying to estimate a regression for the primary balance of each country with fixed effects (by country) and modelling the error with an AR(1) porcess, but I have no idea how to do this last part.
This is the regression with fixed effects:
areg primary_balance debt_lag square_debt_lag output_gap governement_expenditure_gap, abs(country) vce(robust)
¿Which comand allows me to model the error under a AR(1) process? ¿How wouldd you do it?
Thank you!
I have a panel data for 23 countries for period of 1985-2007.I am trying to estimate a regression for the primary balance of each country with fixed effects (by country) and modelling the error with an AR(1) porcess, but I have no idea how to do this last part.
This is the regression with fixed effects:
areg primary_balance debt_lag square_debt_lag output_gap governement_expenditure_gap, abs(country) vce(robust)
¿Which comand allows me to model the error under a AR(1) process? ¿How wouldd you do it?
Thank you!
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