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st: Re: Re: autocorrelation in fixed effects context

From   "Giorgio Ricchiuti" <[email protected]>
To   <[email protected]>
Subject   st: Re: Re: autocorrelation in fixed effects context
Date   Fri, 17 Oct 2003 16:44:02 +0200

Thanks for your answer Kit,
however, How should I test the autocorrelation within the panel in my panel
dataset (T=31 and N=143)? Should I use xttest2 just for a subsample?
thanks Giorgio

----- Original Message -----
From: "Christopher F Baum" <[email protected]>
To: <[email protected]>
Sent: Friday, October 17, 2003 1:10 PM
Subject: st: Re: autocorrelation in fixed effects context

> 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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