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st: Autocorrelation in panel data.


From   "Guest g2inst" <g2inst@ilo.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Autocorrelation in panel data.
Date   Tue, 23 Mar 2004 10:00:06 +0100

Hello Clive,
I am writing you to find out if you made any progress concerning this problem. For my part, I can tell you that the Baltagi's test that Nunziata implements xtbac, should not be valid for dynamic models. I was finding quite different results between the xtbac test results and the Arellano and Bond tests and this was probably due to the fact that the xtbac test  is not indicated for dynamic models, even if, of course, the two tests are performed on two different residuals series. 
Now the question remains which test could be used to control for the GLS residuals  with a dynamic panel. Do you have any clue?
Thanks

>>> Clive.Nicholas@newcastle.ac.uk 03/15/04 01:00am >>>
Richard Williams wrote:

> I created my own variation called -hetgrot2-.  The good news is that both
> my -hetgrot2 and Scott's -gwhet2- seem to give identical results.  The bad
> news is that neither exactly matches the results reported by Greene!  But
> they come very close, and I'm not 100% sure Greene is doing it right.

I must immediately apologise to Richard here. His -hetgrot2- _did_ work.
But, being thick, I called -hetgrot [panelvar]- instead! However, check
this out (from the same -xtgls- model):

.. gwhet2

Testing for Groupwise heteroscedasticity

Ho: homoscedasticity
H1: groupwise heteroscedasticity by pano
chi2 (575)  =    543.80
Prob>chi2 =      0.8205

.. hetgrot2 pano
(option xb assumed; fitted values)
(615 missing values generated)
(617 missing values generated)

Testing for Groupwise heteroscedasticity

Ho: homoscedasticity
H1: groupwise heteroscedasticity by pano

         chi2(62)     =    543.80
         Prob > chi2  =      0.0000

As Richard rightly says, the chi-squared values are indeed identical. But
one rejects H0 whilst the other retains H0. Which to choose?

Whatever the answer to this question, may I publicly thank Richard for
spending a lot of personal time on helping me out with this problem.

CLIVE NICHOLAS        |t: 0(44)191 222 5969
Politics Building     |e: clive.nicholas@ncl.ac.uk 
School of Geography,  |f: 0(44)870 126 2421
 Politics & Sociology |
University of         |
 Newcastle-upon-Tyne  |
Newcastle-upon-Tyne   |
NE1 7RU		      |
United Kingdom	      |http://www.ncl.ac.uk/geps 
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