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


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AW: Test for serial correlation in TSCS data: pooled Lagrange test vs. xtserial command
Date   Thu, 28 May 2009 09:45:02 +0200

<> 

-xtserial- is user written and obtained via

*************
findit xtserial
*************

A look at xtserial.ado shows you the inner workings of the command, which
are exceptionally easy to understand. Also note
http://www.stata.com/support/faqs/stat/panel.html

BTW, could you explain what "TSCS" means?

HTH
Martin


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Carlos
Rodriguez
Gesendet: Donnerstag, 28. Mai 2009 02:28
An: statalist@hsphsun2.harvard.edu
Betreff: 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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