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Re: st: Re: I have a problem with xtgls hetero qnd serial correlation


From   Rodrigo López <rodrilopez88@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: I have a problem with xtgls hetero qnd serial correlation
Date   Mon, 07 Jul 2003 07:06:40 +0000

Thank for your help. I have 13 observation and 15 panels unit. How can I do for test serial correlation in xtgls qnd extreg; fe?.



From: Kit Baum <baum@bc.edu>
Reply-To: statalist@hsphsun2.harvard.edu
To: statalist@hsphsun2.harvard.edu
Subject: st: Re: xtgls hetero
Date: Sat, 5 Jul 2003 12:06:09 -0400

On Saturday, Jul 5, 2003, at 02:33 US/Eastern, Rodrigo wrote:

I am phd student. I was running a xtgls estimation in Stata 7. After this I
tried to test the Breusch-Pagan Statistic for cross-section independence in
the residuals. I had a problem with that becuase my screen show me
"correlation matrix of residuals is singular not possible with test. Thanks
for help.

The residuals from an xt estimator, arrayed in a TxN matrix, where you have T obs on each of N panel units, are the "data" from which one wants to calculate this matrix of correlations. If you're trying to calculate such for N>T, it will be singular, since one cannot have more linearly independent vectors than the rank of the matrix, which cannot exceed T if N>T.

Kit

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