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st: Test for serial correlation in TSCS data: pooled Lagrange test vs. xtserial command


From   Carlos Rodriguez <carlosrodriguez1993@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Test for serial correlation in TSCS data: pooled Lagrange test vs. xtserial command
Date   Wed, 27 May 2009 17:28:00 -0700

Dear listserv participants,

I wish to test for serial correaltion in my TSCS data.   I have first
done it by hand (not sure if I did it OK -please, see 1 below) but
have now found out about xtserial command in Stata10. I'd appreciate
your clarifications on the difference (if any) between the xtserial
command and 1)

1) I have tested for serial correlation by  saving the residuals from
my regression and then running a regression of the residuals on the
lagged residuals and all of variables from the original regression. I
have then multiplied the N  by the R-squared from this auxiliary
regression and checked the Chi-square value with 1 degree of freedom.
(not sure if this is right way to do it, I am grateful for your help)

2) could I use the xtserial command instead of 1)?

Thanks very much in advance.
Carlos Rodriguez
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