Dear all,
I am using an ARDL model to solve the problem of autocorrelation in my regression, but how can I check whether autocorrelation in the error term might still exist? In the following model I use an ARDL(1,0) model with robust standard errors. Is the -robust- option enough to counter any remaining autocorrelation?
I have a panel dataset of 28 countries and T=15 per country. Total obs = 420
I am using an ARDL model to solve the problem of autocorrelation in my regression, but how can I check whether autocorrelation in the error term might still exist? In the following model I use an ARDL(1,0) model with robust standard errors. Is the -robust- option enough to counter any remaining autocorrelation?
I have a panel dataset of 28 countries and T=15 per country. Total obs = 420
Code:
xtreg logY L1.logY X control, fe robust
Fixed-effects (within) regression Number of obs = 392
Group variable: Country Number of groups = 28
R-sq: Obs per group:
within = 0.5706 min = 14
between = 0.9890 avg = 14.0
overall = 0.9578 max = 14
F(3,27) = 63.79
corr(u_i, Xb) = 0.9123 Prob > F = 0.0000
(Std. Err. adjusted for 28 clusters in Country)
------------------------------------------------------------------------------
| Robust
logY | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
logY |
L1. | .6909268 .0520994 13.26 0.000 .5840277 .7978259
|
X | .0011246 .0004701 2.39 0.024 .00016 .0020891
control | .0021688 .0008499 2.55 0.017 .000425 .0039125
_cons | .1956171 .0397835 4.92 0.000 .1139881 .2772461
-------------+----------------------------------------------------------------
sigma_u | .03386153
sigma_e | .01760108
rho | .78728529 (fraction of variance due to u_i)
------------------------------------------------------------------------------
