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st: autocorrelation and panel data

From   Cordula Stolberg <>
Subject   st: autocorrelation and panel data
Date   Thu, 18 Mar 2004 11:57:43 -0000


I am doing a fixed effects regression and I'm now trying to test for autocorrelation. I tried the xttest2, but get the error message that the correlation matrix is singluar. I found out from previous entries that that's due to the fact that my N(=198) & my T(=8) are not equal. I've then done the xtregar, fe regression, but how do I test whether the rho_ar are significantly different from zero, as suggested by Kit Baum?

Moreover, I've then done the same regression with "reg" using a dummy variable estimator for the fixed effects. I know that I can then use panelauto to test for autocorrelation, but I always get the error message that the sample may not include multiple panels. Could anyone tell me what the correct "if" command is to do those tests from panelauto?

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