Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: Autocorrelation and IV in Panel data

From   Christopher Grigoriou <[email protected]>
To   Cordula Stolberg <[email protected]>
Subject   Re: st: Autocorrelation and IV in Panel data
Date   Mon, 09 Aug 2004 13:52:09 +0200


You can also correct autocorrelation in panel data using -newey2- to correct for both heteroskedasticity and serial correlation.
By the way, do you know the difference between -xtregar- and -xtgls- ?


A 12:22 09/08/2004 +0100, Cordula Stolberg a �crit :

Hi Kashif,

you can test for autocorrelation in panel data using -xtserial- (type -findit xtserial- to install it) and correct for it with either -xtregar- or -xtgls-.

I'm not quite sure about the -xtivreg- command though, sorry.


--On 09 August 2004 13:58 +0500 kashif saeed <[email protected]> wrote:


I am new to Stata and working on panel data. I want little help regarding
Stata procedures for panel data. When AR (1) models are estimated Stata
does not reports DW statistic if Baltagi-WU LBI statistic is not
required. Is there any command to get DW statistic without LBI statistic.

My second question is that if autocorrelation is detected then how can
one remove it in panel data models in Stata.

When using instrumental variables in panel data there is no option of
detecting autocorrelation. How can this be done (with commands) and how
can autocorrelation be removed.

Any help in this regard will be greatly appreciated.

Kashif Saeed.

MSN 8 with e-mail virus protection service: 2 months FREE*

*   For searches and help try:

*   For searches and help try:
Christopher Grigoriou
65 Bd F.Mitterrand
63000 Clermont-Ferrand (Bur.)
[email protected]

*   For searches and help try:

© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index