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st: Re: Panel data and autocorrelation


From   "R. E. De Hoyos" <red29@cam.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Panel data and autocorrelation
Date   Tue, 17 Jun 2003 17:12:25 +0100

Dolores,


In an up-to-date stata you can use the Arellano-bond dynamic panel estimator
which includes a test for autocorrelation. The command is xtabond.

Rafa



----- Original Message -----
From: "D Jimenez Rubio" <djr109@york.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, June 17, 2003 3:56 PM
Subject: st: Panel data and autocorrelation


> Hello,
>
> I am a phd student at the University of York (UK). I am running a panel
> data model with Stata but I cannot find any way to detect
> autocorrelation in the model. I am aware that there is a test for it
> (Baltagi), but I was not able to access it. Specifically, I am running
> fixed effects and random effects model including year dumies. I would
> like to check for autocorrelation in my model. Is there anyone who can
> help me? Thanks a lot. Sincerely,
>
> Dolores Jimenez Rubio
>
> Department of Economics
> and Related Studies
> Room A/B327
> Alcuin College
> University of York
> Phone: +44 (0) 1904 434593
>
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>

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