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st: 1st & 2nd order autocorrelation panel-data


From   Sigmund Ellingsrud <sigmund.ellingsrud@econ.uio.no>
To   statalist@hsphsun2.harvard.edu
Subject   st: 1st & 2nd order autocorrelation panel-data
Date   Sun, 10 Jun 2012 16:30:26 +0200

Dear Statalist,

I'm having some difficulty finding a proper solution to the following problem:

I'm estimating panel-data with fixed-effects, i.e:

xtreg (depvar), fe robust

And I want to obtain coefficients, t-stat and p-values for 1st and 2nd order autocorrelation.

I've tried xtserial and xtregar, but none of these seems to provide the statistics I'm after.

I've also learned that there could be some complications arising from having the lagged dependent variable as regressor (wich I do have, both 1 and 2 lags).

I would highly appreciate tips on syntax available as a solution to this problem. Please let me know if I have provided insufficient amount of information.

Regards,
Sigmund Ellingsrud
--
Mvh
Sigmund Ellingsrud
Forskningsassistent Økonomisk Institutt
sigmund.ellingsrud@econ.uio.no
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