6.7.2. statsmodels.sandbox.regression.ar_panel¶
Paneldata model with fixed effect (constants) and AR(1) errors
checking fast evaluation of groupar1filter quickly written to try out grouparfilter without python loops
maybe the example has MA(1) not AR(1) errors, I’m not sure and changed this.
results look good, I’m also differencing the dummy variable (constants) ??? e.g. nobs = 35 true 0.6, 10, 20, 30 (alpha, mean_0, mean_1, mean_2) estimate 0.369453125 [ 10.14646929 19.87135086 30.12706505]
Currently minimizes ssr but could switch to minimize llf, i.e. conditional MLE. This should correspond to iterative FGLS, where data are AR(1) transformed similar to GLSAR ? Result statistic from GLS return by OLS on transformed data should be asymptotically correct (check)
Could be extended to AR(p) errors, but then requires panel with larger T