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


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: 1st & 2nd order autocorrelation panel-data
Date   Mon, 11 Jun 2012 12:13:21 +0100

Sigmund,

A couple of additional suggestions:

1.  -xtlsdvc-, by Giovanni Bruno and available from ssc archives in the
usual way, provides an alternative way of addressing the bias in panel
data models with a lagged dependent variable if you have only one lag on
the RHS.

2.  You haven't told us the dimensions of your panel data set.  The bias
problem with a lagged dep var is decreasing in T.  If T is "large", you
may be OK using lagged dep vars, and you can allow for autocorrelation
using -xtscc- or -xtivreg2- with the dkraay(#) option.

HTH,
Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Christopher Baum
> Sent: Sunday, June 10, 2012 4:20 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: re: st: 1st & 2nd order autocorrelation panel-data
> 
> <>
> 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.
> 
> 
> I answered a similar question this morning. You should not be 
> using fixed effects (LSDV model) with lagged dependent 
> variables. Please see
> 
> http://www.hsph.harvard.edu/cgi-bin/lwgate/STATALIST/archives/
statalist.1206/Date/article-526.html
> 
> Kit
> 
> 
> Kit Baum   |   Boston College Economics & 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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