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

[Markus Eberhardt <markus.eberhardt@economics.ox.ac.uk>]

Hi Felix

The tests routines you mention are for single time series only. For
the panel you can use the equivalents created by Kit Baum (panelauto:
http://ideas.repec.org/c/boc/bocode/s435102.html).
Given your data I should perhaps worry more about stationarity than
serial correlation. A detailed canon of panel unit root tests is
available here:
http://sites.google.com/site/medevecon/code#TOC-Panel-Time-Series-Tools
where you'll also find a number of other related issues (cross-section
correlation; coinegration; estimation).
If you insist on staying in the micro-panel estimator world, despite
your data being macro (which is the common attitude in the applied
literature), you should have a look at an explicitly dynamic model.
Bond (2002) in the Portuguese Journal discusses this is great detail
(naturally, for the micro panel case).


Markus Eberhardt
ESRC Post-doctoral Research Fellow, Centre for the Study of African
Economies, Department of Economics, University of Oxford
Stipendiary Lecturer, St Catherine's College, Oxford

web: http://sites.google.com/site/medevecon/home
email: markus.eberhardt@economics.ox.ac.uk
twitter: http://twitter.com/sjoh2052
mail: Centre for the Study of African Economies, Department of
Economics, Manor Rd, Oxford OX1 3UQ, England




On 7 March 2011 16:11, Felix Wädlich <fwaedlich@gmail.com> wrote:
> 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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