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Re: st: Serial correlation in unbalanced panel


From   nicola.baldini2@unibo.it
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Serial correlation in unbalanced panel
Date   Mon, 05 May 2008 18:21:50 +0200

-xtserial- from SJ3-2 (please specify sources for non-official commands) can test only AR(1).
I am aware only of one command which tests for different processes, and it is -abar- from SSC (for use after -regress-, -ivreg-, -ivreg2-, -ivregress-, -newey-, and -newey2-).

Nicola
At 02.33 01/05/2008 -0400, "Matias Gutierrez" wrote:
>Dear statalisters,
>
>I want to find if the dependent variable in the panel I´m using, banks' loss
>rate, is serially correlated. Although I have found that the aggregate
>series (the system wide loss rate) may follow an AR(2) process, I want to
>check if a similar pattern is observed at the bank level loss rate.
>
>I would like to know if there is a State code to do this in unbalanced
>panels.
>
>I´ve tried to download the xtserial code, but I get an error message.
>Perhaps someone can mail me the ado file.
>
>Thanks for your consideration.
>
>Matías Gutiérrez. 


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