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st: Autocorrelation in Panel Data - XTGLS first differenced or corr(ar1)?
From
"Levchak, Philip J" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: Autocorrelation in Panel Data - XTGLS first differenced or corr(ar1)?
Date
Wed, 19 Dec 2012 05:02:44 +0000
Hello,
I am analyzing a dataset of 66 nations over 20 years (unbalanced) - using xtgls. My biggest concern with the data is the presence of autocorrelation. I test for autocorrelation using Woolridge's test for serial correlation. The regression is in first differences and is weighted by population size. It indicates no panel autocorrelation. Do I need to keep the regression in differenced form for xtgls? I have tried using xtgls, specifying corr(psar1) in non-differenced form. However, the results from the differenced regression and the non-differenced (psar1) regression are quite different. Is there a reason that I should use one method over the other?
I also tried the user-written test for autocorrelation (xtactest) following xtgls (link below). Regardless of what method I use (differenced or psar1), the test indicates serial correlation in the residuals.
http://www.stata.com/statalist/archive/2003-11/msg00722.html
Thanks.
Phil Levchak
Ph.D. Candidate
Department of Sociology
University of Iowa
Iowa City, IA 52245
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