On 8/9/07, John Bunge <[email protected]> wrote:
>
> 1) As a serial correlation test for the residuals of a FE regression I only know the command pantest2. Are there any other commands? I read about the LM test for 1st order serial correlation in a FE model in Baltagi's panel book (3rd ed., 2005), pp. 97-98. Is there a command for it in Stata?
Baltagi, Badi "Econometric Analysis of Panel Data"
>
> 2) If I apply the command pantest2 the order in my dataset was changed sometimes (the order of observation units remains but the time order within those units change in a apparently random fashion), so pantest2 does not run. Thats really strange since I always have tsset my data! Is this a general problem with this command or may it be caused by my Stata Version?
-viewsource pantest2.ado- shows that it is 9 years old (version 5.0),
which I believe is before -tsset-.
I have a slightly updated version of -pantest2- (saved results,
Bhargava, Franzini and Narendranathan DW Statistic). Contact me off
list I can send it to you.
Scott
Bhargava, A., Franzini, L., Narendranathan, W. (1982), "Serial
correlation and the fixed effects model," Review of Economic Studies
49, 533-549.
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