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st: RE: panel-specific autocorrelation with unbalanced panels


From   "Podesta', Federico" <Federico.Podesta@amm.unitn.it>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: panel-specific autocorrelation with unbalanced panels
Date   Mon, 10 Dec 2007 09:07:15 +0100

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: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Jessica Ölschläger
> Sent: Friday, December 07, 2007 2:26 PM
> To: statalist@hsphsun2.harvard.edu
> 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 Ölschläger 
> Forschungsstelle Europäische Integration
> Universität Hohenheim
> 
> 
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