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st: df with -xtserial-


From   dferry <dferry@nber.org>
To   statalist@hsphsun2.harvard.edu
Subject   st: df with -xtserial-
Date   Thu, 3 Aug 2006 13:16:29 -0400

Dear Statalisters,

I am trying to use -xtserial- to test for autocorrelation in panel data. It seems that if I run "xtserial y x1-x65", where y is in levels, I have 65 df for the F-test. However, when I run "xtserial ydiff x1-x65", where y = D.y, I have 0 df for the F-test, and thus the F-test cannot be performed. Why is this?

Some further explanation may be in order:
1) Correct me if I am wrong here, but I believe I should run -xtserial- on the differenced (and thus stationary) x's and y's. That is why I want to run the second specification. (Therefore, the variables x1-x65 are also typically differenced versions of the original variables).
2) N = 5876
3) I have 226 clusters

I am pasting snippets of the output from each specification, below, in case it provides any other relevant info that I have not already listed:

. xtserial y x1-x65, output

Linear regression                                      Number of obs =    5876
                                                       F( 65,   225) =11377.92
                                                       Prob > F      =  0.0000
                                                       R-squared     =  0.8491
Number of clusters (cbsa_fips) = 226                   Root MSE      =  .09969

. xtserial ydiff x1-x65, output

Linear regression                                      Number of obs =    5876
                                                       F(  0,   225) =       .
                                                       Prob > F      =       .
                                                       R-squared     =  1.0000
Number of clusters (cbsa_fips) = 226                   Root MSE      =       0


Many thanks,
Danielle Ferry



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