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st: panel autocorrelation


From   Christopher F Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: panel autocorrelation
Date   Sat, 16 Oct 2004 14:57:58 -0400

Martin said

testing for autocorrelation after xtreg is done usually by xtserial.
But what to do if xtreg includes lagged dependant variables?
And what to do after xtivreg?

If the model includes LDVs xtreg is not the appropriate estimation technique in any case. Use xtabond or (preferably) xtabond2. Both handle instrumental variables and provide tests for 1st and 2d order serial correlation in the errors.

Kit Baum, Boston College Economics baum@bc.edu
http://ideas.repec.org/e/pba1.html

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