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From | Cameron McIntosh <cnm100@hotmail.com> |
To | STATA LIST <statalist@hsphsun2.harvard.edu> |
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: dd358@cam.ac.uk > To: statalist@hsphsun2.harvard.edu > 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 > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/