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| From | Waedlich Felix <fwaedlich@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | st: Testing serial correlation by predicted residuals |
| Date | Wed, 9 Mar 2011 22:28:35 +0100 |
Hey Statalist, I still have problems with my unbalanced panel (140 countries, 27 years) when I want to detect whether my model suffers from serial correlation. The -xtserial- command indicates autocorrelation even after including a LDV and time effects. Other tests (like -estat dwatson-) dont work due to my unbalanced panel. I found an alternative solution from Pluemper/Troeger: first estimate -xtpcse- (without LDV), then -predict xb if e(sample)- to generate residuals, -gen residuals = DV - xb- and run -xtpcse residuals independent variables.... und lagged_residuals -. If the lagged residuals are significant (by t-test) my models suffers from autocorrelation. After adding the LDV to 3., looking at t-test again, and check whether the null of independent errors still has to be rejected. In my case the lagged_residuals are significant (in res model without LDV) and insignificant after adding the LDV. Do you think this constitutes a valid test for autocorrelation? And don't get me wrong, unit root test are probably a good idea for my data set, but i cannot get into them now, since I am kinda running out of time. 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/