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Re: st: Autocorrelation and IV in Panel data


From   Christopher Grigoriou <C.GRIGORIOU@unames.u-clermont1.fr>
To   Cordula Stolberg <cs32@sussex.ac.uk>
Subject   Re: st: Autocorrelation and IV in Panel data
Date   Mon, 09 Aug 2004 13:52:09 +0200

Hi,

You can also correct autocorrelation in panel data using -newey2- to correct for both heteroskedasticity and serial correlation.
By the way, do you know the difference between -xtregar- and -xtgls- ?

Chris

A 12:22 09/08/2004 +0100, Cordula Stolberg a écrit :

Hi Kashif,

you can test for autocorrelation in panel data using -xtserial- (type -findit xtserial- to install it) and correct for it with either -xtregar- or -xtgls-.

I'm not quite sure about the -xtivreg- command though, sorry.

Cordula

--On 09 August 2004 13:58 +0500 kashif saeed <mmks_ku@hotmail.com> wrote:


Hi!

I am new to Stata and working on panel data. I want little help regarding
Stata procedures for panel data. When AR (1) models are estimated Stata
does not reports DW statistic if Baltagi-WU LBI statistic is not
required. Is there any command to get DW statistic without LBI statistic.

My second question is that if autocorrelation is detected then how can
one remove it in panel data models in Stata.

When using instrumental variables in panel data there is no option of
detecting autocorrelation. How can this be done (with commands) and how
can autocorrelation be removed.

Any help in this regard will be greatly appreciated.

Kashif Saeed.

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