st: Test for autocorrelation - "sample may not include multiple panels"

[Felix Wädlich <fwaedlich@gmail.com>]

Hi Statalist,

I have an unbalanced panel and need to test for autocorrelation (1978
to 2004, 100 to 140 countries). Due to my research design, I am very
sure that I need to consider autocorrelation. Therefore I am including
a lagged dependent variable (which also makes sense for theoretical
reasons) as well as dummies for period (and unit effects). Basically I
will first estimate an -xtpcse, corr(ar1)- and then -xtreg i.year,
fe-.
Judging from the literature the standard test for autocorrelation is
-dwstat- (or -bgodfrey-). Unfortunately, Stata tells me "sample may
not include multiple panels", and therefore cannot test for serial
correlation.( No matter whether i use define my data set as -xtset- or
-tsset-)
I also tried -xtserial-, which works and indicates that my regression
suffers from autocorrelation, but only without my fixed effects
specification. So how can I tell, that autocorrelation is sufficiently
adressed after my fe(timewise)-specification?
Since I need such a test for my regression diagnostics, what can i do,
what other options are there? Are there maybe graphical options as
well?
Thanks.

Best regards,

Felix
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