xtregar command

[Frederik Smith]

Hello,

I am new to Stata and I am writing my thesis at the moment. In several papers, that are close to my topic, I read that they use xtregar command because they found evidence for serial correlation in the error terms. However, they say that their estimates of serial correlation is significant. How can I check whether this value is significant?

Thanks!

[George Ford]

help xtserial

[Carlo Lazzaro]

Frederick:
welcome to this forum.
George gave helpful advice about the community-contributed module -xtserial- that you can access by typing -search xtserial- from within Stata.
That said, -xtregar- was conceived for T>N panel dataset (when your regressand is continuous). Conversely, if you're dealing with a N>T panel dataset and you detect heteroskedastciicity and/or autocorrelation, you can simply impose clustered-robust standard errors via -robust- or -vce(cluster panelid)- options, as they do the very same job under -xtreg-.