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From | Markus Eberhardt <markus.eberhardt@economics.ox.ac.uk> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: Test for autocorrelation - "sample may not include multiple panels" |
Date | Mon, 7 Mar 2011 16:22:36 +0000 |
Hi Felix The tests routines you mention are for single time series only. For the panel you can use the equivalents created by Kit Baum (panelauto: http://ideas.repec.org/c/boc/bocode/s435102.html). Given your data I should perhaps worry more about stationarity than serial correlation. A detailed canon of panel unit root tests is available here: http://sites.google.com/site/medevecon/code#TOC-Panel-Time-Series-Tools where you'll also find a number of other related issues (cross-section correlation; coinegration; estimation). If you insist on staying in the micro-panel estimator world, despite your data being macro (which is the common attitude in the applied literature), you should have a look at an explicitly dynamic model. Bond (2002) in the Portuguese Journal discusses this is great detail (naturally, for the micro panel case). Markus Eberhardt ESRC Post-doctoral Research Fellow, Centre for the Study of African Economies, Department of Economics, University of Oxford Stipendiary Lecturer, St Catherine's College, Oxford web: http://sites.google.com/site/medevecon/home email: markus.eberhardt@economics.ox.ac.uk twitter: http://twitter.com/sjoh2052 mail: Centre for the Study of African Economies, Department of Economics, Manor Rd, Oxford OX1 3UQ, England On 7 March 2011 16:11, Felix Wädlich <fwaedlich@gmail.com> wrote: > Hi Statalist, > > I have an unbalanced panel and need to test for autocorrelation (1978 > to 2004, 100 to 140 countries). Due to my research design, I am very > sure that I need to consider autocorrelation. Therefore I am including > a lagged dependent variable (which also makes sense for theoretical > reasons) as well as dummies for period (and unit effects). Basically I > will first estimate an -xtpcse, corr(ar1)- and then -xtreg i.year, > fe-. > Judging from the literature the standard test for autocorrelation is > -dwstat- (or -bgodfrey-). Unfortunately, Stata tells me "sample may > not include multiple panels", and therefore cannot test for serial > correlation.( No matter whether i use define my data set as -xtset- or > -tsset-) > I also tried -xtserial-, which works and indicates that my regression > suffers from autocorrelation, but only without my fixed effects > specification. So how can I tell, that autocorrelation is sufficiently > adressed after my fe(timewise)-specification? > Since I need such a test for my regression diagnostics, what can i do, > what other options are there? Are there maybe graphical options as > well? > Thanks. > > Best regards, > > Felix > * > * 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/ > * * 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/