Re: st: Autocorrelation and IV in Panel data

[Christopher Grigoriou <C.GRIGORIOU@unames.u-clermont1.fr>]

Hi,

You can also correct autocorrelation in panel data using -newey2- to 
correct for both heteroskedasticity and serial correlation.
By the way, do you know the difference between -xtregar- and -xtgls- ?

Chris

A 12:22 09/08/2004 +0100, Cordula Stolberg a �crit :

> 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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Christopher Grigoriou
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