Sandy,
Apologies for the last reply I sent to you on this: frankly, it was rubbish.
I'm afraid this one might not be much better. The only thing I can find
that comes close to what you're looking for is an ado-file written by
Bernhard Kittel (based on an earlier program by Kit Baum) called
-xtactest-. Here it is:
*! version 1.0 BKittel
* from xttest2 v1.0.3 and sureg
* following Baltagi 2001, 95 (eq. 5.42)
program define xtactest, rclass
version 7.0
if "`e(cmd)'"=="xtreg" { local est 1 }
if "`e(cmd)'"=="xtgls" { local est 2 }
if "`est'" =="" { error 301 }
if "`e(model)'" != "fe" & "`est'"=="1" {
di in red "last estimates not xtreg, fe"
exit 301
}
if "`*'"!="" { error 198 }
tempname xb res ret ng tb cov cor vv vvl lm siglm
preserve
* number of cross sections
local ng = e(N_g)
* min length of time series
local tb = e(g_min)
* compute fixed effect e(i,t)
if "`est'" == "1" {
qui predict double `res', e
}
else {
qui predict double `xb'
qui gen double `res' = `e(depvar)'-`xb'
}
* compute e(i,t-1) and drop first period
qui gen double `ret' = l.`res'
qui drop if `res' == . | `ret' == .
* compute LM test statistic
mat accum `cov' = `res' `ret', noc
* mat `cor' = corr(`cov')
* mat list `cor', nohead format(%9.4f)
local vv = `cov'[1,1]
local vvl = `cov'[2,1]
local lm = ((`ng' * `tb'^2)/(`tb' - 1)) * (`vvl'/`vv')^2
di
di in gr "Baltagi and Li LM test of serial correlation: chi2(1) = " /*
*/ in ye %9.3f `lm' in gr ", Pr = " %6.4f /*
*/ in ye chiprob(1,`lm')
ret scalar lm_bl = `lm'
end
exit
The trouble is is that this only provides significance tests on rho after
-xtgls-, not -xtpcse-. Apologies if you're already aware of this. I share
your concern about this, because I too am fitting OLS-PCSE models at
present, although I'm much more of a novice at it than you are.
C.
Sandy Smith wrote:
> A colleague and I have been using the Stata command "xtpcse" to analyze
> pooled
> time series, cross-sectional data. We've been pleased with the results,
> but
> are stuck on a question about autocorrelation.
>
> When you include an AR(1) term, rho is reported in the output. Generally,
> our
> understanding is that if rho is significant, the AR(1) term is necessary.
> However, in the Stata output, there is no significance test for rho.
>
> Does anyone know how to determine if rho is significant when using xtpcse?
>
> Alternately, does anyone know a better test for autocorrelation in using
> xtpcse in Stata?
Yours,
CLIVE NICHOLAS,
Politics Building,
School of Geography, Politics and Sociology,
University of Newcastle-upon-Tyne,
Newcastle-upon-Tyne,
NE1 7RU,
United Kingdom.
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