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st: Re: contemporaneous correlation in panel models


From   "Scott Merryman" <merryman@icehouse.net>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: contemporaneous correlation in panel models
Date   Sat, 10 Aug 2002 15:47:15 -0600

findit contemporaneous correlation, brings up xttest2


TITLE
      'XTTEST2': module to perform Breusch-Pagan LM test for cross-sectional
correlation in fixed effects model

DESCRIPTION/AUTHOR(S)

 xttest2 calculates the Breusch-Pagan statistic for cross-sectional
independence in the residuals of a fixed effect regression model or a GLS
model estimated from cross-section time-series data.  xtreg, fe estimates
this model assuming independence of the errors. A likely deviation from
independent errors in the context of  pooled cross-section time-series data
(or panel data) is likely to be  contemporaneous correlations across
cross-sectional units. These correlations  are those exploited by Zellner's
seemingly unrelated regression (SUR) estimator, and this test is provided by
sureg, corr in that context.


Scott

----- Original Message -----
From: "Mark Gasiorowski" <pogasi@lsu.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Saturday, August 10, 2002 12:49 PM
Subject: st: contemporaneous correlation in panel models


>     I would like to test for contemporaneous (or cross-sectional)
> correlation in a panel model.  I am estimating this model on an
> unbalanced dataset where the number of units is much larger than
> the number of time points, so I cannot use FGLS or PCSE models to
> deal with contemporaneous correlation.  Does anyone know how I
> can do such a test, either in LIMDEP or in Stata?  Also, I do not
> have a good feel for how much and what sort of a problem
> contemporaneous correlation poses, so I would appreciate learning
> of any citations that might discuss it in detail.  Thanks.
>
> Mark Gasiorowski
> Department of Political Science
> Louisiana State University
> Baton Rouge, LA 70803  USA
> Phone: (225) 578-2550



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