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Re: st: Remedy for serial correlation in Panel Data


From   San K <devank@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Remedy for serial correlation in Panel Data
Date   Tue, 10 Apr 2012 09:38:36 +1000

This is my understanding with autocorrelation. It occurs because
1. Specification error. You are missing some important independent variable.
2. Seasonality (similar to point 1)
3. Wrong functional form
4. Data manipulation

I also have trouble with autocorrelation but couldn't nail it.



On Sat, Apr 7, 2012 at 3:54 AM, D. Demetriou <dd358@cam.ac.uk> wrote:
> Hi everyone,
>
> Just a quick question: what is the best way to account for Serial
> correlation in Panel Data (T=10, N=9)?
>
> Some (e.g. Cameron&Triverdi) say that autocorrelation is more a problem in
> long macro panels=> I shouldn't worry according to them
>
> Others say that it is certainly a problem, irrespective of circumstances,
> since it violates one of the basic assumtpions of panel data and gives
> 'wrong' standard errors => I should worry very much according to them
>
> So?? Any ideas on this?
>
> PS: I am using 'xtserial' test (Wooldridge test for autocorrelation in Panel
> Data) to detect whether or not serial correlation is a problem.
>
> Yours,
>
> DD
>
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