Please ignore my prior post. I apologize. I found the problem.
Danielle
On Thu, 3 Aug 2006 13:16:29 -0400, dferry <dferry@nber.org> wrote:
> 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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