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Re: st: autocorrelation in pooled time series


From   "Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: autocorrelation in pooled time series
Date   Thu, 20 Nov 2003 03:48:41 -0000 (GMT)

Sandy,

Hiya! You might have tried this already, but how about this panel-specific
routine:

-xtpcse y x1 x2 xk c(psar1)-

This gives the unit-specific rho, but I must confess to not having tried
it out myself (can't yet run -xtpcse- because of missings in my own
dataset). Still, surprise yourself (and me)!

C.

> 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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Yours,
CLIVE NICHOLAS,
Politics Building,
School of Geography, Politics and Sociology,
University of Newcastle-upon-Tyne,
Newcastle-upon-Tyne,
NE1 7RU,
United Kingdom.
*
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