面板自相关检验方法(基于STATA8.2版本)

What will you do with so much money??????

对 hgz2373294 的好东西表示感激

这个也太贵了吧？

如果你想自然会买,否则你不是必需的.

市场定价可以充分区别这两种情况,达到最优的资源配置.

[此贴子已经被作者于2006-4-26 7:14:35编辑过]

调试成功，再次感谢楼主！

Hi!

I am new to Stata and working on panel data. I want little help regarding
Stata procedures for panel data. When AR (1) models are estimated Stata
does not reports DW statistic if Baltagi-WU LBI statistic is not
required. Is there any command to get DW statistic without LBI statistic.

My second question is that if autocorrelation is detected then how can
one remove it in panel data models in Stata.

When using instrumental variables in panel data there is no option of
detecting autocorrelation. How can this be done (with commands) and how
can autocorrelation be removed.

Any help in this regard will be greatly appreciated.

Kashif Saeed.

以下是引用Trevor在2006-4-26 8:30:00的发言：
Hi!

I am new to Stata and working on panel data. I want little help regarding
Stata procedures for panel data. When AR (1) models are estimated Stata
does not reports DW statistic if Baltagi-WU LBI statistic is not
required. Is there any command to get DW statistic without LBI statistic.

My second question is that if autocorrelation is detected then how can
one remove it in panel data models in Stata.

When using instrumental variables in panel data there is no option of
detecting autocorrelation. How can this be done (with commands) and how
can autocorrelation be removed.

Any help in this regard will be greatly appreciated.

Kashif Saeed.

You can also correct autocorrelation in panel data using -newey2- to correct for both heteroskedasticity and serial correlation.
By the way, do you know the difference between -xtregar- and -xtgls- ?

Chris

[此贴子已经被作者于2006-4-26 8:31:45编辑过]

以下是引用Trevor在2006-4-26 8:30:00的发言：
Hi!

I am new to Stata and working on panel data. I want little help regarding
Stata procedures for panel data. When AR (1) models are estimated Stata
does not reports DW statistic if Baltagi-WU LBI statistic is not
required. Is there any command to get DW statistic without LBI statistic.

My second question is that if autocorrelation is detected then how can
one remove it in panel data models in Stata.

When using instrumental variables in panel data there is no option of
detecting autocorrelation. How can this be done (with commands) and how
can autocorrelation be removed.

Any help in this regard will be greatly appreciated.

Kashif Saeed.

Hi Kashif,

you can test for autocorrelation in panel data using -xtserial- (type -findit xtserial- to install it) and correct for it with either -xtregar- or -xtgls-.

Cordula

A Test for Autocorrelation in Dynamic Panel Data Models

Hosung Jung

Abstract

This paper presents an autocorrelation test that is applicable to dynamic panel data models with serially correlated errors. Our residual-based GMM t-test (hereafter: t-test) differs from the m2 and Sargan's over-identifying restriction (hereafter: Sargan test) in Arellano and Bond (1991), both of which are based on residuals from the first-difference equation. It is a significance test which is applied after estimating a dynamic model by the instrumental variable (IV) method and is directly applicable to any other consistently estimated residual. Two interesting points are found: the test depends only on the consistency of the first-step estimation, not on its efficiency;and the test is applicable to both forms of serial correlation (i.e., AR(1) or MA(1)). Monte Carlo simulations are also performed to study the practical performance of these three tests, the m2, the Sargan and the t-test for models with first-order auto-regressive AR(1) and first-order moving-average MA(1) serial correlation. The m2 and Sargan test statistics appear to accept too often in small samples even when the autocorrelation coefficient approaches unity in the AR(1) disturbance. Overall, our residual based t-test has considerably more power than the m2 test or the Sargan test.

50049.pdf (297.64 KB)

2006-4-26 08:37:00 上传

[此贴子已经被作者于2006-4-26 8:37:36编辑过]

[UseMoney=0] 50050.pdf (91.5 KB)

2006-4-26 08:40:00 上传

面板自相关检验方法(基于STATA8.2版本)

[/UseMoney]

Unobserved Effects Panel Data

John C Frain

21st February 2005

Contents

1 Introduction

2 Estimation using xtreg

3 Testing after xtreg

4 Prediction after xtreg

5 Faster estimation of alternative models using xtdata

6 More general error structures

1 Introduction

Panel data or cross- sectional timeseries are observations on a panel of i units or cases over t time periods. Most panel data commands start with xt For an overview type help xt. These notes present the annotated log of a STATA session demonstrating the use of many of these commands. The data sets used are those used in the STATA cross- sectional time series reference manual. This note should be regarded as an introduction to that manual and to the STATA on- line help files which give comprehensive descriptions of the facilities in STATA for cross- sectional time series analysis. To obtain the optimumbenefit fromthese notes I would recommend that one should work through the STATA session with a copy of Wooldridge available for reference. The emphasis here is on the implementation of the methods described in Chapter 10 of Wooldridge and no attempt is made to explain the theory set out there. Note the di  erent fonts used for comments ( this font), instructions in comments ( help xt) and

[此贴子已经被作者于2006-4-26 8:45:11编辑过]