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stata
2011 Jan 25
0
How to simulate a variable Xt=Wit+0.5Wit-1 with
...8/1,
> Re: generating correlated effects, I tried this only once, but I
> didn't get it right. Simulations using this are, e.g., Hansen (2007)
> http://faculty.chicagobooth.edu/christian.hansen/research/panel_cov_t.
> pdf
> and Drukker (2003)
> http://ideas.repec.org/a/tsj/stataj/v3y2003i2p168-177.html
> I suggest you take inspiration from what they did.
so the references are here for the possible benefit (?) of the list too.
In the meantime I looked at your code and it looks more or less OK to
me. I would have generated the correlated effects simply as
x_i=something ra...