Hi,
I test a fixed effects panel model with 61 groups for 10 years and tested for autocorrelation with the xtregar and the xtserial command, which lead to different findings.
Xtregar doesn't indicate too high autocorrelation (rho_ar =.12), while xtserial indicates autocorrelation (Woolridge test: Prob > F = 0.0041)
My questions therefore are:
Which test is more "reliable", and what can I do about the autocorrelation indicated by the Woolridge test (how to correct for it)?
Thanks,
Pat
PS: Here is the output for each test:
1) xtregar command in STATA: rho_ar .12069893 => doesn't seem to indicate too high autocorrelation
OUTPUT:
FE (within) regression with AR(1) disturbances Number of obs = 426
Group variable: number Number of groups = 61
R-sq: within = 0.0206 Obs per group: min = 5
between = 0.0017 avg = 7.0
overall = 0.0011 max = 8
F(6,359) = 1.26
corr(u_i, Xb) = -0.8001 Prob > F = 0.2762
AverCh~Eadj2 Coef. Std. Err. t P>t [95% Conf. Interval]
duration_c~e -.4899444 .687246 -0.71 0.476 -1.841478 .8615894
sizelnempl -1.867376 2.287751 -0.82 0.415 -6.366453 2.6317
age -.0368308 .2794663 -0.13 0.895 -.5864275 .5127659
prior_slac~2 .4346291 .3607199 1.20 0.229 -.2747605 1.144019
ROEadj_1 .0288556 .0507004 0.57 0.570 -.0708516 .1285627
external_c~y 2.555537 1.347617 1.90 0.059 -.0946773 5.205752
_cons 16.30932 21.37442 0.76 0.446 -25.72549 58.34412
rho_ar .12069893
sigma_u 6.6460257
sigma_e 12.876146
rho_fov .21036696 (fraction of variance because of u_i)
F test that all u_i=0: F(60,359) = 0.49 Prob > F = 0.9994
3) xtserial command in STATA: Woolridge test indicates that there is autocorrelation
OUTPUT:
Linear regression Number of obs = 414
F( 6, 60) = 2.31
Prob > F = 0.0450
R-squared = 0.0252
Root MSE = 16.212
(Std. Err. adjusted for 61 clusters in number)
Robust
D.
AverCh~Eadj2 Coef. Std. Err. t P>t [95% Conf. Interval]
duration_c~e
D1. .3378522 .8894139 0.38 0.705 -1.441241 2.116945
ukdum
D1. (dropped)
frendum
D1. (dropped)
sizelnempl
D1. -4.680739 2.989539 -1.57 0.123 -10.66071 1.299229
age
D1. -.3837846 .391899 -0.98 0.331 -1.167699 .4001301
prior_slac~2
D1. .2684736 .315091 0.85 0.398 -.3618022 .8987494
ROEadj_1
D1. .1397712 .0695373 2.01 0.049 .000676 .2788664
external_c~y
D1. 1.648788 1.834245 0.90 0.372 -2.020249 5.317824
Woolridge test for autocorrelation in panel data
H0: no first-order autocorrelation
F( 1, 60) = 8.903
Prob > F = 0.0041
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