Command Reference : Special Expression Reference
Seasonal autoregressive error specification.
sar can be included in ls or tsls specification to specify a multiplicative seasonal autoregressive term. A sar(p) term can be included in your equation specification to represent a seasonal autoregressive term with lag . The lag polynomial used in estimation is the product of that specified by the ar terms and that specified by the sar terms. The purpose of the sar expression is to allow you to form the product of lag polynomials.
ls tb3 c ar(1) ar(2) sar(4)
TB3 is modeled as a second order autoregressive process with a multiplicative seasonal autoregressive term at lag four.
tsls sale c adv ar(1) sar(12) sar(24) @ c gdp
In this two-stage least squares specification, the error term is a first order autoregressive process with multiplicative seasonal autoregressive terms at lags 12 and 24.
See “Background” for details on ARMA and seasonal ARMA modeling.
See also sma, ar, and ma.