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st: Re:autocorrelation and panel data
On Mar 19, 2004, at 2:33 AM, Cordula wrote:
I am doing a fixed effects regression and I'm now trying to test for
The test in xttest2 works like sureg: one must have N<T for the
correlation matrix of the errors to have full rank.
autocorrelation. I tried the xttest2, but get the error message that
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
done the xtregar, fe regression, but how do I test whether the rho_ar
significantly different from zero, as suggested by Kit Baum?
panelauto is a workaround for those official Stata commands that will
not work AT ALL if the data are tsset as a panel. The commands in
panelauto will work on a single unit of a panel; thus there is no 'if'
involving multiple units that will permit these tests to work.
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
that the sample may not include multiple panels. Could anyone tell me
the correct "if" command is to do those tests from panelauto?
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