One way to control for autocorrelation is to run an autoregressive model on the residuals of your model against lagged dependent variable plus all independent variables of your original model and look at the statistical significance of the autoregressive coefficient.
So, if your model is:
reg y x1 x2
you need to do:
predict resid, resid
reg resid l.resid x1 x2
best regards
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Jessica �lschl�ger
> Sent: Friday, December 07, 2007 2:26 PM
> To: [email protected]
> Subject: st: panel-specific autocorrelation with unbalanced panels
>
> Dear Statalisters,
>
> I want to test for panel-sepcific autocorrelation in my panel
> data set.
> Unfortunately xttest1 doesn't work as my data is unbalanced.
> Is there a way to fix this problem in Stata?
>
> Any comments would be greatly appreciated.
>
> Jessica
>
> ----------------------------------------------------------------
> Dipl. oec. Jessica �lschl�ger
> Forschungsstelle Europ�ische Integration
> Universit�t Hohenheim
>
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
