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st: RE: RE: clogit and autocorrelation

From   "Nick Cox" <>
To   <>
Subject   st: RE: RE: clogit and autocorrelation
Date   Fri, 2 May 2008 13:30:12 +0100

The -modeldiag- package (-search modeldiag- for location information) includes utilities for plotting autocorrelation of your residuals and residual versus previous residual. Your data must be -tsset-, but your model need not have time series flavour. 

-----Original Message-----
From: [] On Behalf Of Nick Cox
Sent: 02 May 2008 13:21
Subject: st: RE: clogit and autocorrelation

It sounds as if you need -xtclogit-, but I don't think it exists. 

I guess your problem is thus that the kind of response variable you have leads to a model that doesn't have support for panel data. 

Durbin-Watson tests won't be available after -clogit-. Rather than that, two not very confident suggestions are

calculating residuals and looking at their autocorrelation functions and e.g. a plot of residual vs previous residual 

considering whether lagged predictors would be useful extra predictors within -clogit-. 

That is, you can -tsset- your data and use operators like L. to do manipulations. But that is outside your logit modelling. -clogit- will do nothing special with panel data. 

There is probably better advice out there. 


I have a matched 1:20 dataset of 4 hour telemetry steps that I am analyzing in Stata using clogit.  I am clustering on individual animal to produce robust SEs.  However, I want to look at the autocorrelation structure of the data and have never done this before.  I am using only non-collinear variables in my model.
1. How do I explore autocorrelation and partial autocorrelation of model residuals with matched data.   
2. I assume I can use the Durbin Watson test for temporal autocorrelation but is this a straight call after clogit or do I need to reformat the dataset specifically for time series?  Right now I have a generic hour and generic date in my work. 

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