Dear all
-xtistest- is now available on SSC, thanks to Kit Baum. It performs the Inoue & Solon (2006) Portmanteau test for serial correlation. It takes the standard residuals (option e in predict) as input and returns the IS statistic as well as the corresponding p-values.
By default is tests for any order of serial correlation, but I recommend restricting it to say, 2nd order correlations by adding the lags(2) option. That said, even with that restricting, the test requires N to be large relative to T. If you are not in a large N, small T framework, I recommend using -xtqptest-. The big advantage of this test is that it allows for gaps in the data, which is not the case for -xtqptest-.
You can specify as many variables to be tested as you want (it loops internally).
Suited for balanced and unbalanced panels and gapped data.
Example usage
Output is at the bottom of this post. As you can see, this setting (T >> N) is not suitable for xtistest. The program will produce a warning as long as N < 0.8T, but don't rely on it.
Cheers
Jesse
References
Testing for Serial Correlation in Fixed-Effects Panel Data Models, Benjamin Born and Jörg Breitung, Econometric Reviews 2016
http://www.tandfonline.com/doi/abs/1...38.2014.976524
Array
-xtistest- is now available on SSC, thanks to Kit Baum. It performs the Inoue & Solon (2006) Portmanteau test for serial correlation. It takes the standard residuals (option e in predict) as input and returns the IS statistic as well as the corresponding p-values.
By default is tests for any order of serial correlation, but I recommend restricting it to say, 2nd order correlations by adding the lags(2) option. That said, even with that restricting, the test requires N to be large relative to T. If you are not in a large N, small T framework, I recommend using -xtqptest-. The big advantage of this test is that it allows for gaps in the data, which is not the case for -xtqptest-.
You can specify as many variables to be tested as you want (it loops internally).
Suited for balanced and unbalanced panels and gapped data.
Example usage
Code:
sysuse xtline1, clear xtreg calories, fe predict e, e xtistest e, lags(2)
Cheers
Jesse
References
Testing for Serial Correlation in Fixed-Effects Panel Data Models, Benjamin Born and Jörg Breitung, Econometric Reviews 2016
http://www.tandfonline.com/doi/abs/1...38.2014.976524
Array