st: Re: statalist-digest V4 #3694

[Katja Hillmann <katja.hillmann@wiso.uni-hamburg.de>]

Dear All,

Currently I'm working with panel data.

Hence, 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 time series in order to identify ARIMA-Models.
If there is no similar command for panel date, may I simply plot the AC 
and PAC of the average over all cross-sections? Does it really reflect 
the autocorrelation of the panel.

Thanks a lot!

Kate


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