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st: Autocorrelation in unbalanced panels


From   "Christian Andres" <andres@uni-bonn.de>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Autocorrelation in unbalanced panels
Date   Fri, 08 Sep 2006 12:00:51 +0200

Dear all,

I tested for autocorrelation in a panel dataset using xtserial as
described in http://www.stata.com/support/faqs/stat/panel.html. The
results indicate that the null of no serial correlation can be rejected.
As a consequence, I would like to estimate the model using the option
panels(correlated) in order to get consistent standard errors. However,
it seems like I can only use the option with a balanced panel! 
How can I apply it to an unbalanced panel? As far as I understand
Wooldridge, the GLS transformation that eliminates serial correlation in
the errors can be extended to unbalanced panels!?!

Thanks a lot!
Christian 




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