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st: control for serial correlation in panel data


From   "Jing Zhou" <jing.zhou@rmit.edu.au>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: control for serial correlation in panel data
Date   Mon, 02 Aug 2010 18:53:56 +1000

Dear All,

I have followed the recommended command on FAQ to test the serial correlation in my panel model. the results show that this problem exists. but it does not show how many periods are related.

I am going to use command "xtivreg2 dep indep (indep=iv) , fe gmm bw (#) robust" to control for the autocorrelation. I have tried to put 2,3,4,5 in bw (). the p-values of coefficients become smaller when putting 2 to 4 in bw (), and become bigger again when putting 5 in it. Could you please advise me how can i justify the proper value put in bw ()? 

btw, if there is no endogenous variable in my model, to use the same command above to control for one period autocorrelation, whether i should use bw (1)? 

Many thanks!

Jing


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