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st: Remedy for serial correlation in Panel Data
From
"D. Demetriou" <[email protected]>
To
[email protected]
Subject
st: Remedy for serial correlation in Panel Data
Date
06 Apr 2012 18:54:25 +0100
Hi everyone,
Just a quick question: what is the best way to account for Serial
correlation in Panel Data (T=10, N=9)?
Some (e.g. Cameron&Triverdi) say that autocorrelation is more a problem in
long macro panels=> I shouldn't worry according to them
Others say that it is certainly a problem, irrespective of circumstances,
since it violates one of the basic assumtpions of panel data and gives
'wrong' standard errors => I should worry very much according to them
So?? Any ideas on this?
PS: I am using 'xtserial' test (Wooldridge test for autocorrelation in
Panel Data) to detect whether or not serial correlation is a problem.
Yours,
DD
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