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Re: st: Re: xtserial
From
Amin Mohseni <[email protected]>
To
[email protected]
Subject
Re: st: Re: xtserial
Date
Sun, 17 Oct 2010 14:35:10 -0400
Dear Dr. Baum:
many thanks for your help.
bests
amin
On Sat, Oct 16, 2010 at 7:09 AM, Christopher Baum <[email protected]> wrote:
> <>
> On Oct 16, 2010, at 2:33 AM, Amin wrote:
>
>> I have used -xtserial- and the results suggest that there is NO first
>> order autocorrelation in my error terms. (all the independent
>> variables are in current time same as dependent variable)
>>
>> Based on this result, can I simply assume there is no need to embark
>> on a dynamic panel data analysis, and a fixed effect analysis would be
>> sufficient?
>
> I don't see the connection. The absence of autocorrelation in a panel model does not imply that its dynamics are specified properly. In writing a static model (all variables at time t), you are presuming that the full effects of the Xs are represented by the contemporaneous value of y. That is sometimes a sensible assumption, but in many contexts ruling out dynamics is a bad idea. I would try specifying this model in the DPD framework (i.e., xtabond, xtabond2) and examining the coefficient on the LDV. If it is insignificant, then the static model is justified.
>
> Kit
>
> Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
> An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
> An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
>
>
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