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 on April 23, and its replacement, is already up and running.

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

st: Serial Autocorrelation in Panel Data

From   addyplavo <>
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!

View this message in context:
Sent from the Statalist mailing list archive at
*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index