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st: Jackknife Analysis for Panel Data using xtpcse


From   Michael Hanslmaier <hanslmaier@kfn.uni-hannover.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: Jackknife Analysis for Panel Data using xtpcse
Date   Fri, 08 Jul 2011 15:34:19 +0200

Hello,

im working on panel dataset (N=96/T=14) using the xtpcse command to correct for AR(1), time and unit-dummies. No I would like to run a Jackknife analysis to repeat the command 96 times while omitting one cross section at a time. I have an ado that does this an summarizes the results in a table that contains the minimum and maximum coefficient estimates and the identifier of the cross sections that is not included. However this command does not work with the autocorrelation option c(a). Does anybody know where I can get an ado that is able to handla also xtpces with AR(1) or are there some tricks to build a loop and summarize the results in a nice way?

Thank you very much,

Michael

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