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st: autocorrelation and panel data


From   Cordula Stolberg <cs32@sussex.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: autocorrelation and panel data
Date   Thu, 18 Mar 2004 11:57:43 -0000

Hello,

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?

Thanks,
Cordula
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