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2.2e
2007 Jul 02
0
estimating a generalized autocorrelated model
Hi, I want to estimate a model of the following form:
y = a1W1y + X1beta1 + e
e = a2W2e + X2beta2 + nu
with y a vector of proportions or counts and W a matrix of weights.
In other words, autocorrelation occurs for the response variable y and for the disturbance term e. Ideally, at either level multiple W matrices could be included and X1 and X2 could be (partly) different (or X2 coul...