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From |
Daniel Borowczyk Martins <stata.danielbm@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: serial correlation test in fe model |

Date |
Wed, 30 Sep 2009 13:39:34 +0100 |

Dear Stata Users, I am trying to implement a test for serial correlation in the idiosyncratic errors in a fixed effects model. I am following Wooldridge's (2002: 275) first test of this type. I will follow his notation so that: - u are the idiosyncratic errors of the FE model; - ü are the time-demeaned errors - û are the residuals of the time-demeaned variables regression His description of the test is the following: 1) regress û on L1.û for T and T-1 (the last two periods) 2)) use the regression coefficient of L1.û (beta) and its standard error (sigma) to obtain a sample estimate of delta= Corr(ü, L1.ü) 3) test h0: delta= -1/(T-1), where the t-statistic is asymptotically normal. I face two problems. First, what is the algebraic expression relating Corr(ü, L1.ü) to beta and sigma? Second, how can I formulate it using the command testnl? Thanks in advance for your help. Daniel * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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