We are trying to replicate the results of a pooled regression which is
described as:
"Feasible Generalized Least Squares regressions run with Stata 6.0;
corrected for first-order autocorrelation using panel-specific process.
Each regression is run with dummy variables for every year (but one)
covered by the data."
We've been able to get very close results with Stata, but I'd like to
know how to do it in R as well..
Also, I'm not clear (a) what panel-specific process is, and (b) why
excluding one year "mitigates autocorrelation"? Does it matter which
year is excluded?
Thank you,
Stan
****************************
Stanislav Markus
Ph.D. Candidate
Harvard University
Department of Government
e: smarkus(a)fas.harvard.edu
t: 617.513.5407
-----Original Message-----
From: gov2001-l-admin(a)fas.harvard.edu
[mailto:gov2001-l-admin@fas.harvard.edu] On Behalf Of Gary King
Sent: Sunday, March 30, 2003 12:06 AM
To: Stanislav Markus
Cc: gov2001-l(a)fas.harvard.edu
Subject: Re: [gov2001-l] Feasible Generalized Least Squares
a special case of this is weighted least squares. but there are other
special cases. it depends on what exactly you want to do.
Gary
On Sat, 29 Mar 2003, Stanislav Markus wrote:
can somebody, please, explain what a "Feasible
Generalized Least
Squares" regression is..? how does one make it happen in R...?
thanks!
****************************
Stanislav Markus
Ph.D. Candidate
Harvard University
Department of Government
e: smarkus(a)fas.harvard.edu
t: 617.513.5407
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