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st: Use of psar1 and ar1 with xtpcse

From   Samuel Finkelstein <>
Subject   st: Use of psar1 and ar1 with xtpcse
Date   Thu, 9 Jun 2011 16:11:13 -0400


I am in the process of estimating a model with xtpcse and I am trying
to determine if I should be using psar1 or ar1.  I used xtserial to
identify autocorrelation in my model and I also tested for the
presence of  panel-level heteroskedasticity (which is present), so I
feel that xtpcse is appropriate.  However, I cannot determine whether
I should or should not assume panel-specific autocorrelation.  I have
seen previous discussions on statalist indicating that xttest1 can be
used to determine if there is panel-specific autocorrelation, but I
have not seen any explanation beyond that it can be used.  Could you
please let me know if there is a test that allows one to determine
whether ar1 or psar1 is most appropriate (or if xttest1 can be used
for this purpose)?

Any response would be greatly appreciated.

Thank you,

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