Autoregressive error specification.
Syntax: @ar(arg)
arg: integer or lag range
The AR specification can appear in an
ls or
tsls specification to indicate an autoregressive component.
ar(1) indicates the first order component,
ar(2) indicates the second order component, and so on.
You may express a range of AR terms using the “to” keyword between a starting and ending integer.
Examples
The command:
ls m1 c tb3 tb3(-1) ar(1) ar(4)
regresses M1 on a constant, TB3, and TB3 lagged once with a first order and fourth order autoregressive component. The command:
tsls sale c adv ar(1) ar(2) ar(3) ar(4) @ c gdp
performs two-stage least squares of SALE on a constant and ADV with up to fourth order autoregressive components using a constant and GDP as instruments.
tsls sale c adv ar(1 to 4) @ c gdp
estimates an equivalent specification.
Cross-references
See
“Time Series Regression” for details on ARMA and seasonal ARMA modeling.
See also
sar,
ma, and
sma.