Thank you very much for your suggestion.
Could you give me a hint on how to find out whether the autocorrelation is
panel-specific? (Maybe that is already done in your suggestion and I just
missed the point.)
Best regards
Jessica
----------------------------------------------------------------
Dipl. oec. Jessica �lschl�ger
Forschungsstelle Europ�ische Integration
Universit�t Hohenheim
-----Urspr�ngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von Podesta',
Federico
Gesendet: Montag, 10. Dezember 2007 09:07
An: [email protected]
Betreff: st: RE: panel-specific autocorrelation with unbalanced panels
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
>
>
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