Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
From | Jose Aleman <alemanfordham.edu@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: I can't make autocorrelation go away in xtpcse |
Date | Thu, 7 Jul 2011 21:35:30 -0400 |
Dear Stata team members, I'm using xtpcse to estimate an error correction model with country and year fixed effects. That is, I'm regressing the dependent variable on its lag, plus every X variable and their lags. A Lagrange multiplier test reveals a chi-square of 8.533 on 1 degree of freedom. This indicates the hypothesis cannot be rejected that there is serial correlation in the model. After using the correlation (ar1) and correlation (psar1) options to correct this autocorrelation, I cannot make this go way. Is there any way to address this issue? Thank you, Jose A. Aleman, Ph.D. Assistant Professor Political Science Department Fordham University http://faculty.fordham.edu/aleman http://us.macmillan.com/laborrelationsinnewdemocracies * * 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/