Test For Serial Correlation Panel Data. First we install the package using the command ssc install as follows. Because serial correlation in linear panel-data models biases the standard errors and causes the results to be less efficient researchers need to identify serial correlation in the idiosyncratic error term in a panel-data model.
The aim of panel data is not to get rid of serial correlation but to make use of within longitudinal and between cross-section variation of variables. Baltagi and Li Joint LM Test for Serial Correlation and Random Cross-Sectional Effects. Testing for Serial Correlation in Linear Panel-Data Models.
I have looked in a lot of places however I have been unable to find anything apart from xtserial which is only for order 1.
How can one test assumptions of regression ie. The second test is based on the Lagrange Multiplier LM statistic. Might indicate you dont need cluster-robust standard errors useful if you dont have 20 clusters Jesse Wursten KUL Five panel correlation tests SUGM 2017 2 15. First we install the package using the command ssc install as follows.
