First regress Y on X to obtain the residual, then in the command line type
"genr u = resid"

And then in the "Estimate Equation" from the "Quick" option, type in
"u c u(-1)" to obtain the regression result and the coefficient attach to u(-1)
is the value of p.  And the results will be like this:

And then 0.6585 is the value of p in the AR(1) process.

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