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Re: st: panel autocorrelation


From   "Martin Mathes" <mathes@uni-trier.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: panel autocorrelation
Date   Sat, 16 Oct 2004 21:57:14 +0200

Dear Christopher,

thanks a lot for your answer.
However, I'd like to run a fixed effects-estimation and xtabond is, 
at least as far as I have understood, a random effects-estimator. 
Any idea how to proceed in this case?

Martin Mathes

On 16 Oct 2004 at 14:57, Christopher F Baum wrote:

> 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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Martin Mathes
Universität Trier
FB IV - VWL
Europäische Wirtschaftspolitik
D-54286 Trier
Tel.: ++49-651-201-2747, -2739
Fax: ++49-651-201-3934
e-mail: mathes@uni-trier.de


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