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RE: st: Remedy for serial correlation in Panel Data
From
Cameron McIntosh <[email protected]>
To
STATA LIST <[email protected]>
Subject
RE: st: Remedy for serial correlation in Panel Data
Date
Fri, 6 Apr 2012 22:04:00 -0400
See:
Drukker, D.M. (2003). Testing for serial correlation in linear panel-data. The Stata Journal, 3(2), 168–177.http://ageconsearch.umn.edu/bitstream/116069/2/sjart_st0039.pdf
Okui, R. (2009). Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators. Mathematics and Computers in Simulation, 79(9), 2897–2909.
Hong, Y., & Kao, C. (2004). Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models. Econometrica, 72(5), 1519-1563. Yamagata, T. (2008). A joint serialcorrelation test for linear panel data models. Journal of Econometrics, 146(1), 135–145.
Cam
> Date: Fri, 6 Apr 2012 18:54:25 +0100
> From: [email protected]
> To: [email protected]
> Subject: st: Remedy for serial correlation in Panel Data
>
> 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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