Kit wrote
> Note that xttest2 does not test for autocorrelation; it tests for
> contemporaneous correlation across panel units, which is not at all the
> same thing as testing for autocorrelation within the units of a panel.
>
> Suggest you consider xtregar. If the estimates of \rho generated by
> xtregar are not significantly different from zero, then you do not have
> to worry about AR(1) within the units' timeseries.
>
> Best wishes
> Kit
Thanks Kit for your suggestion, I'm sorry for my elementary mistake.
1) I've tried to use xtregar,fe but I had a problem: if I use time-invariant
variables I receive this error message
conformability error;
You have issued a matrix command attempting to combine two
matrices that are not conformable, for example, multiplying
a 3x2 matrix by a 3x3 matrix. You will also get this message
if you attempt an operation that requires a square matrix and
the matrix is not square.
When I do not use them I'm able to use xtregar,fe...unfortunately my
time-variant variable are really important. Where could the problem be?
2) without the time-invariant variables I've obtained the values
rho_ar is 0.33224443.
the modified Bhargava et al. Durbin-Watson = 1.3479768
and the Baltagi-Wu LBI = 1.4145928
Unfortunately I'm not able to read this tests. Are they simple DW? Hence,
since they are closed to 2, could I assume that there is no first order
aoutocorrelation? Could you suggest to me some books or paper to read these
tests?
3) Given that I've been analysing a Gravity Model, I presume to have
"correlation across panel units". Could you suggest to me a test or a
procedure to test this type of correlation, given N>T?
Thanks a lot
Best regards
Giorgio
ps: this list is fantastic!
>
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