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st: autocorrelation tests on panel data

From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: autocorrelation tests on panel data
Date   Tue, 21 Oct 2003 14:44:34 -0400

Following the same logic as my prior posting (regarding unit root tests on individual timeseries within a panel), there is no good reason why one should not be able to calculate a Durbin-Watson, Breusch-Godfrey, ARCH, or Durbin "h" test on a single timeseries in a panel. Since I was the original (co-)author of three of those routines, I am pleased to present a package of improved routines which implement commands

arch2 (the previously circulated archlm, STB54),
bgodfrey2 (the previously circulated bgtest, STB55),
durbina2 (the previously circulated durbinh, STB55)

that are very minor modifications of the official routines, but work on a single timeseries of a panel (as would be specified with an "in" or "if" qualifier). These routines may be accessed from

ssc install panelauto

and may be automated, as my prior posting indicated for "dfgls2".


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