Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Calculation of m1 and m2 in OLS in levels and within-groups


From   Christian Andres <[email protected]>
To   [email protected]
Subject   st: Calculation of m1 and m2 in OLS in levels and within-groups
Date   Fri, 22 Dec 2006 16:42:18 +0100

Dear all,

we have a problem calculating test statistics for serial correlation in
panels.

In the DPD98 software package for GAUSS, tests for first-order (m1) and
second-order correlation (m2) are included by default. Using the
xtabond2 command in Stata also produces these two test statistics for
GMM-in-systems and GMM-in-differences.
We now want to obtain a similar test statistic for the OLS in levels
(regress) and within-groups (xtreg , fe) estimation. The Durbin-Watson
and Breusch-Godfrey (bgodfrey) tests do not work (error: "sample may not
include multiple panels". With the Wooldridge-Drukker test, we obtain a
measure only for first-order serial correlation.

Any help is highly appreciated!

Christian Andres and Andr=E9 Betzer


*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index