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st: Re: statalist-digest V4 #3694

From   Katja Hillmann <>
Subject   st: Re: statalist-digest V4 #3694
Date   Mon, 08 Feb 2010 11:48:09 +0100

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!


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