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


From   "Villa Lora, Juan Miguel" <JUANMIGUELV@Contractual.iadb.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Test for serial correlation in TSCS data: pooled Lagrange test vs. xtserial command
Date   Wed, 27 May 2009 21:21:06 -0400

Carlos,
If you have the STATA 10 you may try the "xtabond" command and the "estat abond" after your estimation to determine the serial correlation and also to deal with heteroscedastic issues emerged by the structure of your data. 

Juan.


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu on behalf of Carlos Rodriguez
Sent: Wed 5/27/2009 8:28 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: Test for serial correlation in TSCS data: pooled Lagrange test vs. xtserial command
 
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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