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


From   "Maren Hartmann" <maren.hartmann@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: autocorrelation and cross-correlation analysis after pooled OLS-regression
Date   Thu, 03 Sep 2009 22:27:26 +0200

Thank you for clarifying, to run the pooled ols regression I stacked the data and used the regress command with vce(robust) option.
I did not declare the data to be panel data.

-------- Original-Nachricht --------
> Datum: Thu, 3 Sep 2009 21:02:04 +0100
> Von: Clive Nicholas <clivelists@googlemail.com>
> An: statalist@hsphsun2.harvard.edu
> Betreff: Re: st: autocorrelation and cross-correlation analysis after pooled 	OLS-regression

> 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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