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st: Autocorrelation in FE and pantest2 problems


From   John Bunge <jota.be@web.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: Autocorrelation in FE and pantest2 problems
Date   Thu, 09 Aug 2007 20:39:59 +0200

Dear Users.

I want to implement a panel data regression on a T=20 and N=24 Macro Panel.

First I run FE. Then I want to check for autocorrelation in the residuals in order to have a criterion if dynamic methods (anderson/hsiao, arellano/bond, blundell/bond) should be applied due to a lagged dependent variable.

Related to this are two questions:

1) As a serial correlation test for the residuals of a FE regression I only know the command pantest2. Are there any other commands? I read about the LM test for 1st order serial correlation in a FE model in Baltagi's panel book (3rd ed., 2005), pp. 97-98. Is there a command for it in Stata?

2) If I apply the command pantest2 the order in my dataset was changed sometimes (the order of observation units remains but the time order within those units change in a apparently random fashion), so pantest2 does not run. Thats really strange since I always have tsset my data! Is this a general problem with this command or may it be caused by my Stata Version?

Best regards,

John.

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