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RE: re:st: Testing for Autocorrelation after Xtreg?


From   "Wright, Brad" <bradwright@unc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: re:st: Testing for Autocorrelation after Xtreg?
Date   Tue, 18 Jan 2011 22:11:33 +0000

I tried this, but I am really looking for a post-estimation test. Xtserial doesn't allow me to use the time-series operators that I am using to lag my independent variables. Other thoughts?

-Brad
________________________________________
From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] on behalf of Christopher F Baum [baum@bc.edu]
Sent: Tuesday, January 18, 2011 4:53 PM
To: statalist@hsphsun2.harvard.edu
Subject: re:st: Testing for Autocorrelation after Xtreg?

<>
I need to do a specification test for autocorrelation following a fixed effects regression using xtreg. Unfortunately, bgodfrey, dwatson, durbinalt, and the like don't seem to work in that context. Any suggestions for how I might go about doing this?


findit xtserial

Kit



Kit Baum   |   Boston College Economics and 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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