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Re: st: autocorrelation and cross-correlation analysis after pooled OLS-regression


From   Clive Nicholas <clivelists@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: autocorrelation and cross-correlation analysis after pooled OLS-regression
Date   Thu, 3 Sep 2009 21:02:04 +0100

Maren Hartmann wrote:

> I am quite new to stata and have run a pooled OLS-regression and am now trying to check for autocorrelation (my datafile consists of stacked time-series) and cross correlation (as "individual" time series overlap) in my residuals.
>
> To check for autocorrelation, I installed -panelauto- but could not find the helpfile or syntax for the command - thus I don't even know if it is the right thing to do. Does anyone know how I can best check for autocorrelation in the residuals of my pooled OLS-Regression?
> Is there any way to output the results so I can further analyse them?

[...]

You fail to say which command you used to run your pooled regressions,
but in any case try David Drukker's -xtserial- command (downloadable
from SSC) and see if that works for you. (You also mentioned neither
that -panelauto- is a user-written command by Kit Baum
(http://ideas.repec.org/c/boc/bocode/s435102.html) nor from where it
is available (SSC).)

Others may be best placed to advise you as to how to solve your other problem.

-- 
Clive Nicholas

[Please DO NOT mail me personally here, but at
<clivenicholas@hotmail.com>. Please respond to contributions I make in
a list thread here. Thanks!]

"My colleagues in the social sciences talk a great deal about
methodology. I prefer to call it style." -- Freeman J. Dyson.

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