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From |
P K <statistics_2009@yahoo.de> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Autocorrelation tests for FE models |

Date |
Mon, 1 Jun 2009 10:27:36 -0700 (PDT) |

Hi, I test a fixed effects panel model with 61 groups for 10 years and tested for autocorrelation with the xtregar and the xtserial command, which lead to different findings. Xtregar doesn't indicate too high autocorrelation (rho_ar =.12), while xtserial indicates autocorrelation (Woolridge test: Prob > F = 0.0041) My questions therefore are: Which test is more "reliable", and what can I do about the autocorrelation indicated by the Woolridge test (how to correct for it)? Thanks, Pat PS: Here is the output for each test: 1) xtregar command in STATA: rho_ar .12069893 => doesn't seem to indicate too high autocorrelation OUTPUT: FE (within) regression with AR(1) disturbances Number of obs = 426 Group variable: number Number of groups = 61 R-sq: within = 0.0206 Obs per group: min = 5 between = 0.0017 avg = 7.0 overall = 0.0011 max = 8 F(6,359) = 1.26 corr(u_i, Xb) = -0.8001 Prob > F = 0.2762 AverCh~Eadj2 Coef. Std. Err. t P>t [95% Conf. Interval] duration_c~e -.4899444 .687246 -0.71 0.476 -1.841478 .8615894 sizelnempl -1.867376 2.287751 -0.82 0.415 -6.366453 2.6317 age -.0368308 .2794663 -0.13 0.895 -.5864275 .5127659 prior_slac~2 .4346291 .3607199 1.20 0.229 -.2747605 1.144019 ROEadj_1 .0288556 .0507004 0.57 0.570 -.0708516 .1285627 external_c~y 2.555537 1.347617 1.90 0.059 -.0946773 5.205752 _cons 16.30932 21.37442 0.76 0.446 -25.72549 58.34412 rho_ar .12069893 sigma_u 6.6460257 sigma_e 12.876146 rho_fov .21036696 (fraction of variance because of u_i) F test that all u_i=0: F(60,359) = 0.49 Prob > F = 0.9994 3) xtserial command in STATA: Woolridge test indicates that there is autocorrelation OUTPUT: Linear regression Number of obs = 414 F( 6, 60) = 2.31 Prob > F = 0.0450 R-squared = 0.0252 Root MSE = 16.212 (Std. Err. adjusted for 61 clusters in number) Robust D. AverCh~Eadj2 Coef. Std. Err. t P>t [95% Conf. Interval] duration_c~e D1. .3378522 .8894139 0.38 0.705 -1.441241 2.116945 ukdum D1. (dropped) frendum D1. (dropped) sizelnempl D1. -4.680739 2.989539 -1.57 0.123 -10.66071 1.299229 age D1. -.3837846 .391899 -0.98 0.331 -1.167699 .4001301 prior_slac~2 D1. .2684736 .315091 0.85 0.398 -.3618022 .8987494 ROEadj_1 D1. .1397712 .0695373 2.01 0.049 .000676 .2788664 external_c~y D1. 1.648788 1.834245 0.90 0.372 -2.020249 5.317824 Woolridge test for autocorrelation in panel data H0: no first-order autocorrelation F( 1, 60) = 8.903 Prob > F = 0.0041 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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