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From | David Greenberg <dg4@nyu.edu> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: Remedy for serial correlation in Panel Data |
Date | Mon, 9 Apr 2012 22:12:38 -0400 |
The xtregar command takes first-order serial correlation into account in the estimation process by doing a Cochrane-Orcutt procedure on the data. You should keep in mind that you have a very small data set for analysis. David Greenberg, Sociology Department, NYU On Mon, Apr 9, 2012 at 7:38 PM, San K <devank@gmail.com> wrote: > 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 >> >> * >> * 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/ > > * > * 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/ * * 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/