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st: Autocorrelation Test for OLS with Panel Corrected Standard Errors
I am wondering whether there is any formal precedure (something like Durbin's Alternative Test) that you can use to test for the presence of autocorrelation for the XTPCSE (panel corrected standard errors) estimation? I've tried Durbin's Alternative Test (estat durbinalt) but apparently it is not for XTPCSE. Note that since my model specification includes lagged dependent variables, the classic Durbin-Watson-type test would not work for me. Thanks for your advice in advance.
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