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st: estimated autocorrelation coefficient changes sign when dummy variables are included

 From Lopa Chakraborti To "statalist@hsphsun2.harvard.edu" Subject st: estimated autocorrelation coefficient changes sign when dummy variables are included Date Fri, 25 Feb 2011 14:17:48 -0500

```Hi,
I am running xtpcse with and without plant level dummy variables. I need some advice on why the estimated autocorrelation coefficient changes sign when dummy variables are included.
thanks much
Lopa

model 1:

. xtpcse lseaavglqavfoia04avglbs2   lagseaavgwqfoia04avg3 lagseaavgflowfoia04avg3 elec food mill paper chem petro rubber leather metal transp secu just rnwhite mhhi carpl manuf popt popu MD PA , hetonly corr(ar1)

Number of gaps in sample:  119
(note: computations for rho restarted at each gap)
(note: estimates of rho outside [-1,1] bounded to be in the range [-1,1])

Prais-Winsten regression, heteroskedastic panels corrected standard errors

Group variable:   npid                          Number of obs      =       411
Time variable:    seasoncycle                   Number of groups   =        88
Panels:           heteroskedastic (unbalanced)  Obs per group: min =         2
Autocorrelation:  common AR(1)                                 avg =  4.670455
max =        10
Estimated covariances      =        88          R-squared          =    0.9053
Estimated autocorrelations =         1          Wald chi2(21)      =   7309.21
Estimated coefficients     =        22          Prob > chi2        =    0.0000

------------------------------------------------------------------------------
|            Het-corrected
|      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
lagseaavgw~3 |   .0175739   .0096651     1.82   0.069    -.0013695    .0365172
lagseaavgf~3 |   .0141308   .0035826     3.94   0.000     .0071089    .0211526
elec |  -1.274798   .2237193    -5.70   0.000    -1.713279    -.836316
food |  -.7037066   .4622545    -1.52   0.128    -1.609709    .2022955
mill |   .1025684   .1902175     0.54   0.590    -.2702511     .475388
paper |   1.753649   .1934481     9.07   0.000     1.374498    2.132801
chem |  -1.145819   .2759653    -4.15   0.000    -1.686701   -.6049368
petro |  -.6660155   .2932991    -2.27   0.023    -1.240871   -.0911599
rubber |  -4.779963   .2134669   -22.39   0.000     -5.19835   -4.361575
leather |  -.8598458   .3122449    -2.75   0.006    -1.471834    -.247857
metal |  -3.334442   .3719062    -8.97   0.000    -4.063365    -2.60552
transp |  (dropped)
secu |  -1.785632   .1604453   -11.13   0.000    -2.100099   -1.471165
just |  -.6692307   .1983626    -3.37   0.001    -1.058014   -.2804472
rnwhite |   .0042574   .0044486     0.96   0.339    -.0044616    .0129765
mhhi |   .0220234   .0088036     2.50   0.012     .0047688    .0392781
carpl |   .0159484    .015213     1.05   0.294    -.0138686    .0457654
manuf |    .000531   .0054583     0.10   0.922    -.0101671    .0112291
popt |   .0174839   .0044007     3.97   0.000     .0088586    .0261091
popu |   .0032925   .0024354     1.35   0.176    -.0014809    .0080658
MD |   -.832088   .1614986    -5.15   0.000    -1.148619   -.5155565
PA |  -.2565289   .3490807    -0.73   0.462    -.9407145    .4276567
_cons |   5.353551    .368632    14.52   0.000     4.631045    6.076056
-------------+----------------------------------------------------------------
rho |   .7916129
------------------------------------------------------------------------------

model 2:

. xtpcse lseaavglqavfoia04avglbs2   lagseaavgwqfoia04avg3 lagseaavgflowfoia04avg3 elec food mill paper chem petro rubber leather metal transp secu just rnwhite mhhi carpl manuf popt popu MD PA plantdum*, hetonly corr(ar1)

Number of gaps in sample:  119
(note: computations for rho restarted at each gap)
(note: estimates of rho outside [-1,1] bounded to be in the range [-1,1])

Prais-Winsten regression, heteroskedastic panels corrected standard errors

Group variable:   npid                          Number of obs      =       411
Time variable:    seasoncycle                   Number of groups   =        88
Panels:           heteroskedastic (unbalanced)  Obs per group: min =         2
Autocorrelation:  common AR(1)                                 avg =  4.670455
max =        10
Estimated covariances      =        88          R-squared          =    0.9822
Estimated autocorrelations =         1          Wald chi2(89)      =  1.44e+07
Estimated coefficients     =        89          Prob > chi2        =    0.0000

------------------------------------------------------------------------------
|            Het-corrected
|      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
lagseaavgw~3 |   .0180936   .0071236     2.54   0.011     .0041316    .0320556
lagseaavgf~3 |   .0181603   .0008675    20.93   0.000       .01646    .0198607
elec |  (dropped)
food |  -4.603288    .236761   -19.44   0.000    -5.067331   -4.139245
mill |  -1.579772   .4555319    -3.47   0.001    -2.472598   -.6869456
paper |   1.039548   .1012485    10.27   0.000     .8411045    1.237991
chem |  -2.747028   .1853032   -14.82   0.000    -3.110215    -2.38384
petro |   -.099715   .0818765    -1.22   0.223      -.26019      .06076
rubber |  -5.590311   .1229184   -45.48   0.000    -5.831227   -5.349396
leather |  -1.408918   .3117076    -4.52   0.000    -2.019854   -.7979828
metal |  -5.642789   .1517692   -37.18   0.000    -5.940251   -5.345326
transp |  (dropped)
secu |  -2.705448   .1586987   -17.05   0.000    -3.016492   -2.394404
just |  -.4976849   .0287418   -17.32   0.000    -.5540178    -.441352
rnwhite |    .033415   .0011554    28.92   0.000     .0311503    .0356796
mhhi |   .0687624   .0027268    25.22   0.000      .063418    .0741068
carpl |   .1050512   .0049816    21.09   0.000     .0952874    .1148149
manuf |    .059941   .0017845    33.59   0.000     .0564434    .0634385
popt |   -.013566   .0049359    -2.75   0.006    -.0232401   -.0038919
popu |   .0214322   .0003912    54.78   0.000     .0206654    .0221989
MD |   .6438677   .1216639     5.29   0.000     .4054109    .8823245
PA |  -.3290206   .1106896    -2.97   0.003    -.5459682   -.1120729
plantdum2 |  (dropped)
plantdum3 |  (dropped)
plantdum4 |  (dropped)
plantdum5 |  (dropped)
plantdum6 |  -.8737521   .2218897    -3.94   0.000    -1.308648   -.4388563
plantdum7 |  -1.106989   .1822593    -6.07   0.000    -1.464211   -.7497677
plantdum8 |   .3478083   .1596061     2.18   0.029     .0349861    .6606306
plantdum9 |  -1.946071   .2701609    -7.20   0.000    -2.475577   -1.416566
plantdum10 |   .2056404   .2093001     0.98   0.326    -.2045802     .615861
plantdum11 |  -.9707295     .08547   -11.36   0.000    -1.138248   -.8032113
plantdum12 |  (dropped)
plantdum13 |   .0850417   .1997274     0.43   0.670    -.3064168    .4765002
plantdum14 |  (dropped)
plantdum15 |   1.872152   .0898308    20.84   0.000     1.696087    2.048217
plantdum16 |   -.727815   .1884699    -3.86   0.000    -1.097209   -.3584207
plantdum17 |  -2.288263   .2261976   -10.12   0.000    -2.731602   -1.844923
plantdum18 |   .2269513   .1408603     1.61   0.107    -.0491297    .5030324
plantdum19 |  -1.168687   .1662243    -7.03   0.000    -1.494481   -.8428932
plantdum20 |   .5467179   .1741751     3.14   0.002     .2053409    .8880948
plantdum21 |  -1.407528   .1072642   -13.12   0.000    -1.617762   -1.197294
plantdum22 |   .7337238   .2054737     3.57   0.000     .3310027    1.136445
plantdum23 |  (dropped)
plantdum24 |  (dropped)
plantdum25 |  -2.116513   .2587528    -8.18   0.000    -2.623659   -1.609367
plantdum26 |  (dropped)
plantdum27 |  (dropped)
plantdum28 |  (dropped)
plantdum29 |  (dropped)
plantdum30 |  (dropped)
plantdum31 |   .0519363   .2364972     0.22   0.826    -.4115898    .5154623
plantdum32 |    5.76572    .167844    34.35   0.000     5.436751    6.094688
plantdum33 |  (dropped)
plantdum34 |  (dropped)
plantdum35 |  (dropped)
plantdum36 |   7.096475   .1449033    48.97   0.000     6.812469     7.38048
plantdum37 |  (dropped)
plantdum38 |  (dropped)
plantdum39 |  (dropped)
plantdum40 |   7.260004   .2132947    34.04   0.000     6.841954    7.678054
plantdum41 |    1.41097   .0983095    14.35   0.000     1.218287    1.603653
plantdum42 |  -.9692919   .0296649   -32.67   0.000    -1.027434   -.9111497
plantdum43 |   1.084792   .0795524    13.64   0.000     .9288723    1.240712
plantdum44 |   1.225428   .1070797    11.44   0.000     1.015556      1.4353
plantdum45 |  (dropped)
plantdum46 |  (dropped)
plantdum47 |   4.555706    .150157    30.34   0.000     4.261403    4.850008
plantdum48 |   2.111834   .2632353     8.02   0.000     1.595902    2.627766
plantdum49 |   4.718928   .1469579    32.11   0.000     4.430895     5.00696
plantdum50 |   2.041079   .1658375    12.31   0.000     1.716044    2.366115
plantdum51 |  (dropped)
plantdum52 |   1.992393   .4519647     4.41   0.000     1.106558    2.878227
plantdum53 |   .7984359   .4564329     1.75   0.080    -.0961562    1.693028
plantdum54 |   2.395141   .2303797    10.40   0.000     1.943606    2.846677
plantdum55 |   3.523936   .1679183    20.99   0.000     3.194822     3.85305
plantdum56 |  (dropped)
plantdum57 |  (dropped)
plantdum58 |  (dropped)
plantdum59 |   1.060518   .0548449    19.34   0.000     .9530237    1.168012
plantdum60 |  (dropped)
plantdum61 |  (dropped)
plantdum62 |   1.633855   .4632306     3.53   0.000     .7259401    2.541771
plantdum63 |  (dropped)
plantdum64 |   .1792942    .028385     6.32   0.000     .1236606    .2349277
plantdum65 |  -.8104991   .1174556    -6.90   0.000    -1.040708   -.5802903
plantdum66 |  -2.504236    .119425   -20.97   0.000    -2.738305   -2.270168
plantdum67 |  -.2978648   .0570631    -5.22   0.000    -.4097065   -.1860232
plantdum68 |  -.5260572    .101494    -5.18   0.000    -.7249818   -.3271327
plantdum69 |   2.412183   .0613695    39.31   0.000     2.291901    2.532465
plantdum70 |   .1437169   .0591522     2.43   0.015     .0277806    .2596531
plantdum71 |    2.87729   .0947743    30.36   0.000     2.691536    3.063044
plantdum72 |   .3985812   .1838042     2.17   0.030     .0383316    .7588308
plantdum73 |   -.948565   .0512311   -18.52   0.000    -1.048976   -.8481538
plantdum74 |   1.484547   .0595253    24.94   0.000      1.36788    1.601215
plantdum75 |  -.2724068   .0815195    -3.34   0.001    -.4321821   -.1126316
plantdum76 |  -1.063033   .1385774    -7.67   0.000     -1.33464   -.7914264
plantdum77 |   1.452853   .0594178    24.45   0.000     1.336396     1.56931
plantdum78 |    2.14592   .1364149    15.73   0.000     1.878552    2.413288
plantdum79 |  -2.251174   .1105202   -20.37   0.000    -2.467789   -2.034558
plantdum80 |   .5619839    .047046    11.95   0.000     .4697754    .6541925
plantdum81 |   .4208893   .0913233     4.61   0.000     .2418988    .5998797
plantdum82 |   1.527783   .0453195    33.71   0.000     1.438959    1.616608
plantdum83 |  (dropped)
plantdum84 |   1.125875   .0432152    26.05   0.000     1.041175    1.210575
plantdum85 |   1.591836   .0577172    27.58   0.000     1.478713     1.70496
plantdum86 |   4.006383   .1716238    23.34   0.000     3.670006    4.342759
plantdum87 |  (dropped)
plantdum88 |   .6000273   .1352842     4.44   0.000      .334875    .8651795
plantdum89 |    -2.0558   .0780075   -26.35   0.000    -2.208691   -1.902908
plantdum90 |   1.633073   .0935017    17.47   0.000     1.449813    1.816333
plantdum91 |    .415067   .0848474     4.89   0.000     .2487693    .5813648
plantdum92 |   1.401441   .1117379    12.54   0.000     1.182439    1.620443
plantdum93 |   1.086346   .0447443    24.28   0.000     .9986492    1.174044
plantdum94 |   .3558804   .1996679     1.78   0.075    -.0354614    .7472222
plantdum95 |   .5308524   .0447122    11.87   0.000     .4432181    .6184866
plantdum96 |    1.02588   .2040099     5.03   0.000     .6260276    1.425732
plantdum97 |   2.448062   .1789877    13.68   0.000     2.097252    2.798871
plantdum98 |   .6660908   .1088542     6.12   0.000     .4527406     .879441
plantdum99 |  -2.903657   .0883717   -32.86   0.000    -3.076862   -2.730451
plantdum100 |  -1.274899   .0404559   -31.51   0.000    -1.354191   -1.195607
_cons |  (dropped)
-------------+----------------------------------------------------------------
rho |  -.2280014
------------------------------------------------------------------------------

.

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```