Re: st: Autocorrelation and IV in Panel data

[Cordula Stolberg <cs32@sussex.ac.uk>]

Hi Kashif,

you can test for autocorrelation in panel data using -xtserial- (type 
-findit xtserial- to install it) and correct for it with either -xtregar- 
or -xtgls-.

I'm not quite sure about the -xtivreg- command though, sorry.

Cordula

--On 09 August 2004 13:58 +0500 kashif saeed <mmks_ku@hotmail.com> wrote:


> Hi!
>
> I am new to Stata and working on panel data. I want little help regarding
> Stata procedures for panel data. When AR (1) models are estimated Stata
> does not reports DW statistic if Baltagi-WU LBI statistic is not
> required. Is there any command to get DW statistic without LBI statistic.
>
> My second question is that if autocorrelation is detected then how can
> one remove it in panel data models in Stata.
>
> When using instrumental variables in panel data there is no option of
> detecting autocorrelation. How can this be done (with commands) and how
> can autocorrelation be removed.
>
> Any help in this regard will be greatly appreciated.
>
> Kashif Saeed.
>
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