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st: Panel data & strong autocorrelation

From   "alopca2002" <[email protected]>
To   [email protected]
Subject   st: Panel data & strong autocorrelation
Date   Sat, 25 Oct 2003 15:26:21 -0000

Dear Statalist users:

When i regress xtreg with my data (T=8, N=604) the results shows an
high value of rho (about 0.67) and the Arellano-Bond test of no
autocorrelation of first order is rejected.

I regress xtregar for modelling AR1 in my model. I am native in this
kind of models and i would like to know if there is a test in order
to check that the autocorrelation problem is solved with AR1 or not.

Also, i would like to know if with this sample (obs= 4832) the
coeficientes estimated in the two steps Arellano-Bond model are
reliable or not.

Thanks you a lot

Alfredo L�pez

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