Dear Marck,
Thank you so much for your suggestion.
I've managed to adapt it to my regression - and it works very well!
Regards
Jessica
----------------------------------------------------------------
Dipl. oec. Jessica �lschl�ger
Forschungsstelle Europ�ische Integration
Universit�t Hohenheim
-----Urspr�ngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von Marck Bulter
Gesendet: Dienstag, 11. Dezember 2007 14:59
An: [email protected]
Betreff: Re: AW: st: panel-specific autocorrelation with unbalanced panels
Jessica �lschl�ger wrote:
> Delia and Nicola,
>
> thank you very much for your suggestions.
> I've already had tried both but I don't see how to test for panel-specific
> autocorrelation with xtserial or abar.
> It may be done with xttest1 but this works for balanced panels only.
>
> Jessica
>
> ----------------------------------------------------------------
> Dipl. oec. Jessica �lschl�ger
>
> Forschungsstelle Europ�ische Integration
> Universit�t Hohenheim
>
> -----Urspr�ngliche Nachricht-----
> Von: [email protected]
> [mailto:[email protected]] Im Auftrag von Delia Ionascu
> Gesendet: Montag, 10. Dezember 2007 20:00
> An: [email protected]
> Betreff: Re: st: panel-specific autocorrelation with unbalanced panels
>
> Another option is to use
> abar (you could download it from
> http://ideas.repec.org/c/boc/bocode/s437501.html)
>
> abar performs the Arellano-Bond (1991) test for autocorrelation.
> abar runs after regress, ivreg, ivreg2, and ivreg2, gmm; also after
> newey and newey2
>
> Delia
>
>
> ----- Original Message -----
> From: [email protected]
> Date: Monday, December 10, 2007 6:51 pm
> Subject: Re: st: panel-specific autocorrelation with unbalanced panels
> To: [email protected]
> Cc: [email protected]
>
>
>> Does -xtserial- from sj3-2 help?
>> Nicola
>> At 02.33 08/12/2007 -0500, =?iso-8859-1?Q?Jessica_=D6lschl=E4ger?=
>> wrote:>Dear Statalisters,
>>
>>> I want to test for panel-sepcific autocorrelation in my panel
>>>
>> data set.
>>
>>> Unfortunately xttest1 doesn?t work as my data is unbalanced.
>>> Is there a way to fix this problem in Stata?
>>>
>>> Any comments would be greatly appreciated.
>>>
>>> Jessica
>>>
>> *
>> * 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/
>>
>>
>>
> *
> * 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/
>
>
> *
> * 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/
>
Dear Jessica,
If you regress each cross-section i using,
forvalues i=1/108 {
display "Regress pstrmon for CUSIP" `i'
quietly ivreg pstrmon price mat age coup pstrmonprev pstrprev intr ivol
compl (precmon = precmonprev) if cusip == `i'
estimates store model `i'
more
}
Then you should be able to test for autocor. etc, just like a normal
time series regression for each i. Although you should change the
estimate line a bit, but you get picture. Give it a try.
regards,
Marck Bulter
*
* 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/
*
* 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/
