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st: RE: Autocorrelation in unbalanced panels


From   "Jason Yackee" <jyackee@law.usc.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Autocorrelation in unbalanced panels
Date   Fri, 8 Sep 2006 08:26:17 -0700

Would estimating your model using -reg, cluster - followed by the
Arellano-Bond test for serial autocorrelation -abar- accomplish anything
useful in this regard?  This works for unbalanced panels, but I don't
know if what it gives you is equivalent to what you are trying to get
out of -xtserial, panels(correlated)-.

JY 

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Christian
Andres
Sent: Friday, September 08, 2006 3:01 AM
To: statalist@hsphsun2.harvard.edu
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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