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
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?
The test in xttest2 works like sureg: one must have N<T for the
correlation matrix of the errors to have full rank.
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?
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.
Kit
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