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


From   Joel Miller <dr.joel.miller@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: AW: Test for serial correlation in TSCS data: pooled Lagrange test vs. xtserial command
Date   Mon, 8 Jun 2009 13:01:12 -0400

Carlos,

Did you conclude that your hand-calculated LaGrange test was
appropriate? Did you find serial autocorrelation?

I'm grappling with the same problem. I seem to have serial correlation
using xtpcse with a lag (according to your hand calculated method) and
trying to figure out how to deal with it.

Thanks

Joel M.

On Thu, May 28, 2009 at 3:45 AM, Martin Weiss<martin.weiss1@gmx.de> wrote:
>
> <>
>
> -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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