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st: Re: tests in panel data set

From   "Giorgio Ricchiuti" <[email protected]>
To   <[email protected]>
Subject   st: Re: tests in panel data set
Date   Sat, 18 Oct 2003 20:04:42 +0200

Kit wrote

> Note that xttest2 does not test for autocorrelation; it tests for
> contemporaneous correlation across panel units, which is not at all the
> same thing as testing for autocorrelation within the units of a panel.
> Suggest you consider xtregar. If the estimates of \rho generated by
> xtregar are not significantly different from zero, then you do not have
> to worry about AR(1) within the units' timeseries.
> Best wishes
> Kit

Thanks Kit for your suggestion, I'm sorry for my elementary mistake.

1) I've tried to use xtregar,fe but I had a problem: if I use time-invariant
variables I receive this error message
        conformability error;
        You have issued a matrix command attempting to combine two
        matrices that are not conformable, for example, multiplying
        a 3x2 matrix by a 3x3 matrix.  You will also get this message
        if you attempt an operation that requires a square matrix and
        the matrix is not square.
When I do not use them I'm able to use xtregar,fe...unfortunately my
time-variant variable are really important. Where could the problem be?

2) without the time-invariant variables I've obtained the values
rho_ar  is 0.33224443.
the modified Bhargava et al. Durbin-Watson = 1.3479768
and the Baltagi-Wu LBI = 1.4145928

Unfortunately I'm not able to read this tests. Are they simple DW? Hence,
since they are closed to 2, could I assume that there is no first order
aoutocorrelation? Could you suggest to me some books or paper to read these

3) Given that I've been analysing a Gravity Model, I presume to have
"correlation across panel units". Could you suggest to me a test or a
procedure to test this type of correlation, given N>T?

Thanks a lot
Best regards


ps: this list is fantastic!

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