The formula is in the Stata manual which you can get from the library. I think jon coded
it up for his replication.
From: gov2001-l-bounces at
lists.fas.harvard.edu [mailto:gov2001-l-bounces at
lists.fas.harvard.edu] On Behalf Of A Friedman
Sent: Tuesday, April 15, 2008 10:55 AM
To: gov2001-l at
lists.fas.harvard.edu
Subject: Re: [gov2001-l] Prais-Winsten Regression?
Oh, sorry. You may be able to contact Stata and ask for the formula their algorithm
implements. $1500/copy buys you all sorts of tech support, although it'd be nicer if
they just published the code. Actually, if the P-W algorithm is implemented as an ADO
file you could likely dig through the code yourself and see what exactly they're
doing.
Ari
On Tue, Apr 15, 2008 at 10:51 AM, Joseph Williams <william5 at fas.harvard.edu>
wrote:
Ari,
Thanks, but I had already tried that. It slightly changes the point estimates but does
not return the same estimates as the author/Stata.
Joe
From: gov2001-l-bounces at
lists.fas.harvard.edu [mailto:gov2001-l-bounces at
lists.fas.harvard.edu] On Behalf Of A Friedman
Sent: Tuesday, April 15, 2008 10:46 AM
To: gov2001-l at
lists.fas.harvard.edu
Subject: Re: [gov2001-l] Prais-Winsten Regression?
There's some code here:
http://tolstoy.newcastle.edu.au/R/help/02a/0228.html
Ari
On Tue, Apr 15, 2008 at 10:33 AM, Joseph Williams <william5 at fas.harvard.edu>
wrote:
Good morning everyone,
I had a bit of a rough night and need some help answering the questions below:
#1 ? Is anyone aware of a package or canned function in R that will implement
Prais-Winsten Regression?
#2 ? Is OLS with PCSE (panel corrected standard error) just a variant of FGLS (feasible
generalized least squares)?
#3 ? Does lagging the dependent variable in addition to correcting for first order
autocorrelation produce bias estimates?
Background-
#1 - Unable to exactly replicate my author's work, I downloaded Stata and tried to
replicate his work in that program. With a non-trivial amount of help, I was finally able
to exactly replicate the author's results. The author claimed he used OLS with Panel
Corrected Standard Errors. Stata reports that it conducted a Prais-Winsten regression
correcting for panel specific first order autocorrelation.
#2 - I am a bit confused as to whether or not PW regression is the same as OLS. OLS
returns different point estimates than the PW regression (hence the trouble I have had
replicating the author's work). The many articles I read last night seemed to
indicate PW regression is a variant of FGLS. The author cites Beck and Katz as the reason
for conducting OLS with PCSE. However, Beck and Katz specifically warn against using
FGLS.
#3 - I have read many articles about the correctness of using a lagged dependent variable
and many other articles about the appropriateness of correcting for autocorrelation. I
have not read an article that advocated or warned against doing both.
Thanks for your time; I appreciate any help light you can shed on my intuitional
problems?.
Joe
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