Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

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


From   Marck Bulter <177316mb@student.eur.nl>
To   statalist@hsphsun2.harvard.edu
Subject   Re: AW: st: panel-specific autocorrelation with unbalanced panels
Date   Tue, 11 Dec 2007 14:58:52 +0100

Jessica Ölschläger wrote:
Delia and Nicola,

thank you very much for your suggestions. I've already had tried both but I don't see how to test for panel-specific
autocorrelation with xtserial or abar.
It may be done with xttest1 but this works for balanced panels only.

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 Delia Ionascu
Gesendet: Montag, 10. Dezember 2007 20:00
An: statalist@hsphsun2.harvard.edu
Betreff: Re: st: panel-specific autocorrelation with unbalanced panels

Another option is to use abar (you could download it from http://ideas.repec.org/c/boc/bocode/s437501.html)

abar performs the Arellano-Bond (1991) test for autocorrelation. abar runs after regress, ivreg, ivreg2, and ivreg2, gmm; also after newey and newey2

Delia


----- Original Message -----
From: nicola.baldini2@unibo.it
Date: Monday, December 10, 2007 6:51 pm
Subject: Re: st: panel-specific autocorrelation with unbalanced panels
To: statalist@hsphsun2.harvard.edu
Cc: jessica.oelschlaeger@uni-hohenheim.de


Does -xtserial- from sj3-2 help?
Nicola
At 02.33 08/12/2007 -0500, =?iso-8859-1?Q?Jessica_=D6lschl=E4ger?= wrote:>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
*
* 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/


*
* 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/
Dear Jessica,

If you regress each cross-section i using,

forvalues i=1/108 {
display "Regress pstrmon for CUSIP" `i'
quietly ivreg pstrmon price mat age coup pstrmonprev pstrprev intr ivol compl (precmon = precmonprev) if cusip == `i'
estimates store model `i'
more
}

Then you should be able to test for autocor. etc, just like a normal time series regression for each i. Although you should change the estimate line a bit, but you get picture. Give it a try.

regards,
Marck Bulter




*
* 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/




© Copyright 1996–2022 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index