Sandy,
Hiya! You might have tried this already, but how about this panel-specific
routine:
-xtpcse y x1 x2 xk c(psar1)-
This gives the unit-specific rho, but I must confess to not having tried
it out myself (can't yet run -xtpcse- because of missings in my own
dataset). Still, surprise yourself (and me)!
C.
> Dear Statalist,
>
> A colleague and I have been using the Stata command "xtpcse" to analyze
> pooled
> time series, cross-sectional data. We've been pleased with the results,
> but
> are stuck on a question about autocorrelation.
>
> When you include an AR(1) term, rho is reported in the output. Generally,
> our
> understanding is that if rho is significant, the AR(1) term is necessary.
> However, in the Stata output, there is no significance test for rho.
>
> Does anyone know how to determine if rho is significant when using xtpcse?
>
> Alternately, does anyone know a better test for autocorrelation in using
> xtpcse in Stata?
>
> Thanks in advance for your help!
>
> -Sandy
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
Yours,
CLIVE NICHOLAS,
Politics Building,
School of Geography, Politics and Sociology,
University of Newcastle-upon-Tyne,
Newcastle-upon-Tyne,
NE1 7RU,
United Kingdom.
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
