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st: autocorrelation


From   "Walsh, Kayo" <Walsh@hcp.med.harvard.edu>
To   "'statalist@hsphsun2.harvard.edu'" <'statalist@hsphsun2.harvard.edu'>
Subject   st: autocorrelation
Date   Tue, 31 Jan 2012 14:50:40 -0500

Hi,

Is there a way to get a standard error(or 95% CI) of autocorrelation coefficient in STATA? I am using XTGEE to get autocorrelation (the code shown  below). I get the result of the correlation(below) but I also want to get the standard error (or 95% CI) of each estimate.  Please let me know if it is possible to do this.

Thank you,

Kayo Walsh

xtgee sqrt_amt_total_ptfa $demo $demo2 $demo3 $hh $disb $insur $disease $health t $i_demo $i_demo2 $i_demo3 $i_hh $i_disb $i_insur $i_disease $i_health [iw = avg_wt],  i (id_num) t (t) family (gaussian) link (identity) corr (ar1) robust

estat wcorrelation

Estimated within-id_num correlation matrix R:

      |        c1         c2         c3         c4         c5 
------+-------------------------------------------------------
   r1 |         1                                             
   r2 |  .2956403          1                                  
   r3 |  .0874032   .2956403          1                       
   r4 |  .0258399   .0874032   .2956403          1            
   r5 |  .0076393   .0258399   .0874032   .2956403          1




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