用stata如何检验panel的自相关和异方差

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怎么处理呢!

如果时间非常短，而个体数又非常多，比如T＝5，N＝50，就非常需要进行异方差和自相关的检验。我是这么做的。

搜索我的论坛文章

我已经给了例子

搜索我的论坛文章,我已经发了相关资料

为什么我按照楼主的程序输入. xtserial y x后显示
unrecognized command: xtserial
请那位高手能指点下，多谢了！

我没有查到楼上所说的帖子，你可以将你帖子的内容发到我邮箱吗？在此先谢了！邮箱：wangcuacua1981@163.com

一定要进行检验吗？如果用ＧＭＭ方法回归也要进行这些检验吗？我一直以为不用呢

希望这样的帖子多点，收益不少啊。

命令（面板数据已设定）

xtserial y x

是检验gls前的序列相关？还是检验gls后什么的的序列相关？

检验的目的是什么？

Wooldridge test for serial correlation in panel-data models

xtserial depvar [varlist] [if exp] [in range] [, output]

You must tsset your data before using xtserial; see help tsset.

Description

xtserial implements a test for serial correlation in the idiosyncratic
errors of a linear panel-data model discussed by Wooldridge (2002).
Drukker (2003) presents simulation evidence that this test has good
size and power properties in reasonable sample sizes.

Under the null of no serial the residuals from the regression of the
first-differenced variables should have an autocorrelation of -.5.
This implies that the coefficient on the lagged residuals in a
regression of the lagged residuals on the current residuals should be
-.5. xtserial performs a Wald test of this hypothesis. See Drukker
(2003) and Wooldridge (2002) for further details.

一个例题的执行结果：

. xtserial cp ip,out

Linear regression Number of obs = 224
F( 1, 15) = 1368.43
Prob > F = 0.0000
R-squared = 0.8634
Number of clusters (id) = 16 Root MSE = 66.027

------------------------------------------------------------------------------
| Robust
D.cp | Coef. Std. Err. t P>|t| [95% Conf. Interval]
------------+----------------------------------------------------------------
ip |
D1. | .7996297 .0216161 36.99 0.000 .7535561 .8457032
------------------------------------------------------------------------------

Wooldridge test for autocorrelation in panel data
H0: no first-order autocorrelation
F( 1, 15) = 64.220

怎样解释输出结果？

[此贴子已经被作者于2007-1-3 6:15:09编辑过]

正需要,很好