Hi everyone, I am interested in estimating this type of random effects panel:
y_it = x'_it * beta + u_it + e_it u_it = rho * u_it-1 + d_it rho belongs to (-1, 1) where: u and e are independent and normally zero-mean distributed. d is also independently normally zero-mean distributed. So, I want random effects for group i to be correlated in t, following an AR(1) process. I am using the mle command, including correlation=corAR1: lme(asis~prec+pobl+gola+entr,random=~1|codi,correlation=corAR1(0.8 ,form=~temp|codi))) i = codi t = temp I am not sure whether the AR(1) process is applied to the random effects (u_it) or the error term (e_it)... Any idea? Thanks. G -- Guillermo Villa Universidad Carlos III de Madrid Business Economics Department Office 6.0.26 Madrid, 126 28903, Getafe (Madrid) SPAIN Email: [EMAIL PROTECTED] Phone: (+34) 916249772 Mobil: (+34) 655112743 Fax: (+34) 916249607 Skype: guillermo.villa Website: www.guillermovilla.com [[alternative HTML version deleted]] ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.