Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

RE: st: autocorrelation

From   "David M. Drukker, StataCorp" <>
Subject   RE: st: autocorrelation
Date   Fri, 29 Apr 2005 11:19:16 -0500

Thushyanthan Baskaran <> wrote that he has panel data with
some form of within panel serial correlation and conditional

If the panel-level effect is independent of the covariates in the model,
Thushyanthan could type

. xtgee y x1 x2, i(panel_id) corr(unstructured) robust

The above command will estimate the parameters of a linear panel-data model
with arbitrary within panel correlation and the estimated VCE will be robust
to conditional heteroskedasticity over the panels.

If the panel-level effect is not indepedent of the covariates in the model,
i.e.  Thushyanthan is interested in a fixed-effect type model, then
Thushyanthan should difference the data before estimating the model to
remove the panel-level effect.  For example, assuming that the dataset is
already -tsset-,

. gen double Dy  = D.y
. gen double Dx1 = D.x1
. gen double Dx2 = D.x2
. xtgee Dy Dx1 Dx2, i(panel_id) corr(unstructured) robust noconstant

would provide consistent estimates of the parameters of interest and a
heteroskedasticity robust VCE.

In Stata 9 one can type 

. xtgee D.y D.x1 D.x2, i(panel_id) corr(unstructured) robust noconstant 

The -noconstant- option is specified because an intercept in the differenced
data is a time trend in the undifferenced data.  However, some researchers are
so averse to estimating a regression model without an intercept that they
do not specify the -noconstant- option.

I hope that this helps.

	-- David
*   For searches and help try:

© Copyright 1996–2017 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index