re: st: 1st & 2nd order autocorrelation panel-data

[Christopher Baum <kit.baum@bc.edu>]

<>
I'm having some difficulty finding a proper solution to the following 
problem:

I'm estimating panel-data with fixed-effects, i.e:

xtreg (depvar), fe robust

And I want to obtain coefficients, t-stat and p-values for 1st and 2nd 
order autocorrelation.

I've tried xtserial and xtregar, but none of these seems to provide the 
statistics I'm after.

I've also learned that there could be some complications arising from 
having the lagged dependent variable as regressor (wich I do have, both 
1 and 2 lags).

I would highly appreciate tips on syntax available as a solution to this 
problem. Please let me know if I have provided insufficient amount of 
information.


I answered a similar question this morning. You should not be using fixed effects (LSDV model) with lagged dependent variables. Please see

http://www.hsph.harvard.edu/cgi-bin/lwgate/STATALIST/archives/statalist.1206/Date/article-526.html

Kit


Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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