In the presence of this "too high autocorrelation" that is
statistically nonzero, you should cluster by group.
On Thu, Jun 4, 2009 at 7:57 PM, Kyle Hood <[email protected]> wrote:
> There is no conflict, here. Stata has not reported any standard errors for
> rho estimated using the xtregar command; this command is not testing for
> serial autocorrelation, per se, although if you can find a standard error
> for rho in the e() structure, maybe you can do the test yourself. The other
> command you report the results for is testing for serial autocorrelation,
> and we only know the p-value associated with this test. Be careful not to
> confuse statistical significance and effect size -- both of these commands
> are telling you different things. The latter test strengthens the argument
> that xtregar should be used (instead of xtreg, for example).
>
> P K wrote:
>>
>> 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:
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