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


From   Jessica Ölschläger <jessica.oelschlaeger@uni-hohenheim.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   AW: AW: st: panel-specific autocorrelation with unbalanced panels
Date   Tue, 11 Dec 2007 17:22:38 +0100

Dear Marck,

Thank you so much for your suggestion.
I've managed to adapt it to my regression - and it works very well!

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 Marck Bulter
Gesendet: Dienstag, 11. Dezember 2007 14:59
An: statalist@hsphsun2.harvard.edu
Betreff: Re: AW: st: panel-specific autocorrelation with unbalanced panels

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
>>>       
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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




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