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st: Serial Autocorrelation in Panel Data


From   addyplavo <filaglad@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Serial Autocorrelation in Panel Data
Date   Mon, 2 Jul 2012 01:31:39 -0700 (PDT)

Hello everyone,
I have an unbalanced panel and -xtserial- indicates that the data suffer
from autocorrelation. Now I am looking for an answer of how to deal with
serial correlation in panel data, as the Newey-West adjustment only seems to
work with time series. I have red a previous thread that stated I should use
the -xtreg, cluster- command and -, mle-. However I am not entirely clear on
the exact implementation:
I used -xtset ID month- to form the panel. Does this mean my cluster
variable is ID? (I observe company returns of 1000 companies accross 10
countries, so maybe I should also cluster by country?). Furthermore, why
should I also use the -mle- specification with my -xtreg- command?

I am very new to stata and not a statistic pro, thus I am thankful for any
help here!


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