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st: test for autocorrelation


From   Katja Hillmann <katja.hillmann@wiso.uni-hamburg.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: test for autocorrelation
Date   Fri, 05 Feb 2010 14:15:16 +0100

Hi,

I have a panel with 36 cross-section over 17 time units. I'd like to figure out, wether the autocorrelation structure of my data set follows an AR(p)- or/and MA(q)-process. Is there any tool/command in STATA which tests for the (non-)presence of Autocorrelation?

I know, for times series I plot the AC and the PACF of the stationary times series in order to identify ARIMA-Modell. Or may I simply plot the AC and PAC of the time series as an average over all cross-sections? Does it really reflect the autocorrelation of the panel.

In the end I want to run a fixed-effects regression (xtregar).

Thanks a lot!

Kate

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