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st: autocorrelation in pooled time series


From   Sandy Smith <sandy.smith@vanderbilt.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: autocorrelation in pooled time series
Date   Wed, 19 Nov 2003 12:12:17 -0600

Dear Statalist,

A colleague and I have been using the Stata command "xtpcse" to analyze pooled 
time series, cross-sectional data.   We've been pleased with the results, but 
are stuck on a question about autocorrelation.

When you include an AR(1) term, rho is reported in the output.  Generally, our 
understanding is that if rho is significant, the AR(1) term is necessary.  
However, in the Stata output, there is no significance test for rho.

Does anyone know how to determine if rho is significant when using xtpcse?

Alternately, does anyone know a better test for autocorrelation in using 
xtpcse in Stata?

Thanks in advance for your help!

-Sandy

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