求助，stata新手有几个问题想咨询一下

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

在stata里怎么用Cochrane-Orcutt迭代法估计一阶自相关系数和得到的估计值进行广义差分变换，然后把改变了的模型保存下来？

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：stata新手 Stata tata Cochrane Cochran

求助！

求大神指点一波

看看prais命令的帮助或manual里面详细介绍吧




Title

    [TS] prais -- Prais-Winsten and Cochrane-Orcutt regression


Syntax

        prais depvar [indepvars] [if] [in] [, options]


    options               Description
    ----------------------------------------------------------------------
    Model
      rhotype(regress)    base rho on single-lag OLS of residuals; the
                            default
      rhotype(freg)       base rho on single-lead OLS of residuals
      rhotype(tscorr)     base rho on autocorrelation of residuals
      rhotype(dw)         base rho on autocorrelation based on
                            Durbin-Watson
      rhotype(theil)      base rho on adjusted autocorrelation
      rhotype(nagar)      base rho on adjusted Durbin-Watson
      corc                use Cochrane-Orcutt transformation
      ssesearch           search for rho that minimizes SSE
      twostep             stop after the first iteration
      noconstant          suppress constant term
      hascons             has user-defined constant
      savespace           conserve memory during estimation

    SE/Robust
      vce(vcetype)        vcetype may be ols, robust, cluster clustvar,
                            hc2, or hc3

    Reporting
      level(#)            set confidence level; default is level(95)
      nodw                do not report the Durbin-Watson statistic
      display_options     control column formats, row spacing, line width,
                            display of omitted variables and base and
                            empty cells, and factor-variable labeling

    Optimization
      optimize_options    control the optimization process; seldom used

      coeflegend          display legend instead of statistics
    ----------------------------------------------------------------------
    You must tsset your data before using prais; see [TS] tsset.
    indepvars may contain factor variables; see fvvarlist.
    depvar and indepvars may contain time-series operators; see tsvarlist.
    by, fp, rolling, and statsby are allowed; see prefix.
    coeflegend does not appear in the dialog box.
    See [TS] prais postestimation for features available after estimation.


Menu

    Statistics > Time series > Prais-Winsten regression


Description

    prais uses the generalized least-squares method to estimate the
    parameters in a linear regression model in which the errors are
    serially correlated.  Specifically, the errors are assumed to follow a
    first-order autoregressive process.