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Re: st: df with -xtserial-


From   dferry <dferry@nber.org>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: df with -xtserial-
Date   Thu, 3 Aug 2006 13:40:27 -0400

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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