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st: AW: RE: panel-specific autocorrelation with unbalanced panels


From   Jessica Ölschläger <jessica.oelschlaeger@uni-hohenheim.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AW: RE: panel-specific autocorrelation with unbalanced panels
Date   Mon, 10 Dec 2007 16:06:41 +0100

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 Ölschläger
 
Forschungsstelle Europäische Integration
Universität Hohenheim

-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Podesta',
Federico
Gesendet: Montag, 10. Dezember 2007 09:07
An: statalist@hsphsun2.harvard.edu
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: 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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