On Friday, October 17, 2003, at 02:33 AM, Giovanni wrote:
5) I've tried to test the autocorrelation by the command xttest2 but I
have alwaiys the same error: the correlation matrix is singular. What
does it really mean?
In correspondence off-list, Giovanni indicated that the number of units
in his balanced panel far exceeds the number of time-series
observations per individual. Since my routine xttest2 works with the
same correlations which would be used in the application of SUR (sureg)
to panel data in 'wide' format, it will report a singular correlation
matrix whenever T < N (and in that context sureg will not work). You
cannot have N linearly independent vectors of length T if T<N, as it
does in his context.
Kit
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