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st: Re: autocorrelation in fixed effects context


From   Christopher F Baum <[email protected]>
To   [email protected]
Subject   st: Re: autocorrelation in fixed effects context
Date   Fri, 17 Oct 2003 07:10:12 -0400

On Friday, October 17, 2003, at 02:33 AM, Giovanni wrote:


5) I've tried to test the autocorrelation by the command xttest2 but I have alwaiys the same error: the correlation matrix is singular. What does it really mean?
In correspondence off-list, Giovanni indicated that the number of units in his balanced panel far exceeds the number of time-series observations per individual. Since my routine xttest2 works with the same correlations which would be used in the application of SUR (sureg) to panel data in 'wide' format, it will report a singular correlation matrix whenever T < N (and in that context sureg will not work). You cannot have N linearly independent vectors of length T if T<N, as it does in his context.

Kit

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