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st: Re: test for AR in panel data
On Feb 3, 2004, at 2:33 AM, Kalina wrote:
Yes (sort of). 'findit panelauto' will locate a set of minor
modifications to official commands that I wrote. These routines will
work on ONE timeseries of a panel: that is, you may analyze the
residuals of unit i alone (presumably with some sort of loop over i).
This is NOT a "panel durbin watson test', if you consider such a test
one that gives you a single verdict on the panel, but one that removes
the annoying restriction that many of Stata's official time-series
commands (including unit root tests) will not work on a panel unless
you drop all but one timeseries of the panel.
I am not able to use the dwstat or bgtest tests in Stata 7 with a panel
data. Is there a fix for this problem or other tests I can use
Also please note that 'bgtest' and 'durbinh' (Baum and Wiggins, STB-55)
are now implemented in official Stata as 'bgodfrey' and 'durbina'. The
latter routines are to be preferred, since you can consult StataCorp
tech support for assistance with them.
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