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Re: st: Autocorrelation and heteroscedasticity following xtreg


From   lreine ycenna <lreine.ycenna@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Autocorrelation and heteroscedasticity following xtreg
Date   Wed, 19 Oct 2011 10:02:35 +0100

After setting my panels using tsset, I typed xtserial x y z - the 'no
observation' r(2000); pops up. I searched the statalist forum and It
seems that many people have experienced this issue, but there's yet a
solution to this. It has nothing to do with the data being unbalanced
as I've tried xtserial both on an unbalanced panel and a balanced one.
All my data are numerical, so there's no problem with that. Any idea?

On 19 October 2011 08:38, Nick Cox <n.j.cox@durham.ac.uk> wrote:
> To spell it out for all interested: Kit recommended
>
> . findit xtserial
>
> If you do that you will find references not only to a user-written command -xtserial- but also to an FAQ on autocorrelation and heteroscedasticity for panels.
>
> Nick
> n.j.cox@durham.ac.uk
>
> lreine ycenna
>
> ops OK I missed the part - xtserial.
>
> On 19 October 2011 04:57, lreine ycenna <lreine.ycenna@gmail.com> wrote:
>
>> I suppose one cannot test for autocorrelation and heteroscedasticity
>> following xtreg then...
>
> On 18 October 2011 17:19, lreine ycenna <lreine.ycenna@gmail.com> wrote:
>
>>> I am running an FE regression using the xtreg command and would like
>>> to test for autocorrelation and heteroscedasticity. An earlier post by
>>> Dr. Baum seems to suggest that bgodfrey, dwatson, durbinalt would not
>>> work for autocorrelation. See
>>> http://www.stata.com/statalist/archive/2011-01/msg00564.html
>>> What would be the best way to run these two tests following xtreg?
>
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