Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Remedy for serial correlation in Panel Data


From   "D. Demetriou" <dd358@cam.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Remedy for serial correlation in Panel Data
Date   06 Apr 2012 18:54:25 +0100

Hi everyone,

Just a quick question: what is the best way to account for Serial correlation in Panel Data (T=10, N=9)?

Some (e.g. Cameron&Triverdi) say that autocorrelation is more a problem in long macro panels=> I shouldn't worry according to them

Others say that it is certainly a problem, irrespective of circumstances, since it violates one of the basic assumtpions of panel data and gives 'wrong' standard errors => I should worry very much according to them

So?? Any ideas on this?

PS: I am using 'xtserial' test (Wooldridge test for autocorrelation in Panel Data) to detect whether or not serial correlation is a problem.

Yours,

DD

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index