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st: Autocorrelation in unbalanced panels
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!
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