st: autocorrelation in panel data

[Rufus Peabody <rufus.peabody@gmail.com>]

Hi all,

I'm dealing with data where I'm trying to predict a variable based on  
previous values of that variable.  I have an unbalanced panel.  I have  
no problems getting the coefficient for each lag of the variable:

(data is already tsset with a panel variable and time variable)

foreach v of local vars {
	regress `v' L(1/10).`v' LY_`v'_norm LY_`v'_norm_intobs if  
L10.year==year
}

, where `v' is the variable, LY_`v'_norm is the normalized average of  
the variable for the particular panel during the previous year &  
LY_`v'_norm_intobs is an interaction of LY_`v'_norm and the number of  
observations for that panel the previous year.  (Since there is a lot  
of luck inherent in the variable in a short-run period, I'm including  
these so I can "regress to the mean" the variable as appropriate.

While the results of this regression are not problematic (shown  
below), I would like a way to fit a curve which takes out all the  
noise from including a bunch of lags.   - corrgram - does not seem to  
work with panel data.  I should point out that there are no fixed  
effects.  I would like to fit a decay function that I can apply to all  
panels.

Thanks!
-Rufus
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