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st: Re: Autocorrelation in unbalanced panels


From   "Christer Thrane" <ch-thran@online.no>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Autocorrelation in unbalanced panels
Date   Fri, 8 Sep 2006 16:56:03 +0200

Hi,

I think -xtgee- alows you test different correlation structures between the panels and/or using robust standard errors, irrespective of whether the panels are balanced or not.

HTH,

Christer

************************************************
Professor Christer Thrane
Department of Social Science
Lillehammer University College
2626 Lillehammer, Norway
+ 47 61 28 81 70 (fax)
+ 47 61 28 82 47 (phone, work)
+ 47 61 25 53 04 (phone, home)
E-mail, work: christer.thrane@hil.no
************************************************

----- Original Message ----- From: "Christian Andres" <andres@uni-bonn.de>
To: <statalist@hsphsun2.harvard.edu>
Sent: Friday, September 08, 2006 12:00 PM
Subject: st: Autocorrelation in unbalanced panels



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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