Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: AW: Autocorrelation after xtdpdsys
From
Angela C <[email protected]>
To
[email protected]
Subject
Re: st: AW: Autocorrelation after xtdpdsys
Date
Fri, 1 Feb 2013 16:53:02 +0200
Dear Jan,
thank you very much, your remarks are more than useful.
It still bothers me though, what if we have autocollelation of second
or higher order?
Is there a way (a command or routine) to correct it and take new
autocorrelation-corrected coefficients?
Regards, Angela
2013/2/1 Dithmer, Jan <[email protected]>:
> Dear Angela,
>
> as is stated in the help file of the program - help xtdpdsys -
> artests(#) specifies the maximum order of the autocorrelation test to be calculated
> It does not correct for anything, it is just a test for autocorrelation of different orders.
> It looks fine in your case, as 1st order autocorrelation may be present but 2nd order must not,
> for the model to be consistent. By the way, your number of instruments is very high. You may
> want to cross-check your results when limiting the lags used for instrumentation and should also
> test the validity of the employed instruments.
>
> Best, Jan
>
> -----Ursprüngliche Nachricht-----
> Von: [email protected] [mailto:[email protected]] Im Auftrag von Angela C
> Gesendet: Friday, February 01, 2013 2:20 AM
> An: [email protected]
> Betreff: st: Autocorrelation after xtdpdsys
>
> I am using xtdpdsys to estimate a panel with N=27 and T=17.
>
> the results come out as follows
>
> xtdpdsys Deb Gr INT, lags(1) vce(robust) artests(2)
>
> System dynamic panel-data estimation Number of obs = 430
> Group variable: CTY Number of groups = 27
> Time variable: Year
> Obs per group: min = 14
> avg = 15.92593
> max = 16
>
> Number of instruments = 138 Wald chi2(3) = 677.64
> Prob > chi2 = 0.0000
> One-step results
> ------------------------------------------------------------------------------
> | Robust
> Deb | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------
> -------------+------
> Deb |
> L1. | 1.091666 .0627754 17.39 0.000 .9686287 1.214704
> |
> Gr | -104.3667 16.53084 -6.31 0.000 -136.7665 -71.96683
> INT | -1.38898 .4177452 -3.32 0.001 -2.207746 -.5702147
> _cons | 2.437429 2.130174 1.14 0.253 -1.737636 6.612494
> ------------------------------------------------------------------------------
> Instruments for differenced equation
> GMM-type: L(2/.).Deb
> Standard: D.Gr D.INT
> Instruments for level equation
> GMM-type: LD.Deb
> Standard: _cons
>
>
>
> I then run the Arellano-Bond postestimation test and stata returns:
>
> Arellano-Bond test for zero autocorrelation in first-differenced errors
> +-----------------------+
> |Order | z Prob > z|
> |------+----------------|
> | 1 |-3.4443 0.0006 |
> | 2 |-.37263 0.7094 |
> +-----------------------+
> H0: no autocorrelation
>
> According to my model, the 2nd order autocorrelation appearing in the test has been corrected by the programme (I set artests(2))?
>
> If it was not corrected, is there a way to correct it afterwards and take new, corrected coefficients?
>
> Thank you.
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/faqs/resources/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/faqs/resources/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/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/