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Re: Re: st: Autocorrelation and heteroscedasticity following xtreg

From   Christopher Baum <>
To   "" <>
Subject   Re: Re: st: Autocorrelation and heteroscedasticity following xtreg
Date   Thu, 20 Oct 2011 08:30:28 -0400

On Oct 20, 2011, at 2:33 AM, lreine wrote:

> After setting my panels using tsset, I typed xtserial x y z - the 'no
> observation' r(2000); pops up. I searched the statalist forum and It
> seems that many people have experienced this issue, but there's yet a
> solution to this. It has nothing to do with the data being unbalanced
> as I've tried xtserial both on an unbalanced panel and a balanced one.
> All my data are numerical, so there's no problem with that. Any idea?

xtserial uses a regression in first differences. What do you get if you 

summ D.x D.y D.z  ??

It could be that you do not have the 'delta' parameter on asset correct, so that indeed there are no observations on the differenced series. This does not stop xtreg,fe, but it will prevent a regression in FDs from working.


Kit Baum   |   Boston College Economics & DIW Berlin   |
                             An Introduction to Stata Programming  |
  An Introduction to Modern Econometrics Using Stata  |

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