Command Reference : Special Expression Reference
Autoregressive error specification.
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.
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.
See “Time Series Regression” for details on ARMA and seasonal ARMA modeling.
See also sar, ma, and sma.