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: [email protected] [mailto:[email protected]] On Behalf Of Nick Cox
Sent: 02 May 2008 13:21
To: [email protected]
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.
C.Chetkiewicz
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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