Displaying 3 results from an estimated 3 matches for "u_it".
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u_int
2007 Mar 16
3
corAR1 in a random effects panel
Hi everyone,
I am interested in estimating this type of random effects panel:
y_it = x'_it * beta + u_it + e_it
u_it = rho * u_it-1 + d_it rho belongs to (-1, 1)
where:
u and e are independent and normally zero-mean distributed.
d is also independently normally zero-mean distributed.
So, I want random effects for group i to be correlated in t, following an
AR(1) process.
I am using the ml...
2007 Mar 17
1
Correlated random effects in lme
Hello,
I am interested in estimating this type of random effects panel:
y_it = x'_it * beta + u_it + e_it
u_it = rho * u_it-1 + d_it rho belongs to (-1, 1)
where:
u and e are independently normally zero-mean distributed.
d is also independently normally zero-mean distributed.
So, I want random effects for group i to be correlated in t, following an
AR(1) process.
Any idea of how to...
2006 Aug 14
1
ARMA(1,1) for panel data
Dear List,
I am new to TS-Modeling in R. I would like to fit an ARMA(1,1) model
for a balanced panel, running Y on a full set of unit and year dummies
using an arma(1,1) for the disturbance:
y_it=unit.dummies+yeardummies+e_it
where: e_it=d*e_it-1+u_it+q*u_it-1
How can I fit this model in R? arma() does not seem to take covariates
(or I don't understand how to specify the function so that it would).
Thank you very much.
Best, Tom