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Re: st: Testing for serial correlation in small panel samples
From
christina sakali <[email protected]>
To
[email protected]
Subject
Re: st: Testing for serial correlation in small panel samples
Date
Wed, 7 Sep 2011 20:09:37 +0300
Dear Scott,
thanks a lot for the suggestion.
I have a question though: Does the Bhargava et al's DW stat., reported
by the -lbi- option, refer to the original xtreg regression or the
xtregar one, which is corrected for first-order serial correlation?
I guess what I need to know is: can I use the Bhargava stat. from the
-lbi- option as an indication of serial correlation in my original
xtreg regression or is this irrelevant?
On 7 September 2011 00:32, Scott Merryman <[email protected]> wrote:
> On Tue, Sep 6, 2011 at 7:22 AM, christina sakali
> <[email protected]> wrote:
> <snip>
>
>> For example is there a way to compute Bhargava's et al. (1982) DW
>> stat. for panel data or Baltagi's (2001, p.94) LM test for first-order
>> serial correlation in a fixed effects model?
>
> See -help xtregar- and the -lbi- option.
>
> Scott
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