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Re: st: serial autocorrelation in residuals, what to do?


From   David Greenberg <dg4@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: serial autocorrelation in residuals, what to do?
Date   Tue, 26 Aug 2008 23:32:09 -0400

Antonio, Could there be a trend present in your data? That would generate autocorrelations with many lags. Try adding a linear and/or quadratic trend term to your list of predictors. David Greenberg, Sociology Dept., New York U. 

----- Original Message -----
From: Antonio Silva <asilva100@live.com>
Date: Tuesday, August 26, 2008 11:13 pm
Subject: st: serial autocorrelation in residuals, what to do?
To: statalist@hsphsun2.harvard.edu


> Hello:
> Today, I followed some of your advice. The arpois program does indeed 
> work with the new stata and I downloaded it. Running the model using 
> arpois seems to help...but only a very little bit. I have run the 
> model with ar(1) all the way through ar(10), and only when we get to 
> very large ar numbers does the autocorrelation of residuals begin to 
> abate seriously. So I suppose I could do this...but the results are 
> unwieldy, as the results have 10 ar coefficients in the printout.
> As for including a lagged dependent variable on the right side of the 
> equation, it does help. But not enough to overcome the very serious 
> autocorrelation of residuals. Finally, I also ran a nbreg, but it 
> reduces to the Poisson, I assume because there is no overdispersion 
> present. 
> Robust standard errors help too, but still not enough.
> I am trying more, and I keep on learning more, so thanks a lot!
> Antonio 
> 
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