autocorrelation for panel data (xtserial)*

[Shovkat Khodjaev]

I am trying to run an autocorrelation(xtserial) for panel data
I tried using:

xtset fid_ndvi
xtreg yield_ndvi avg8_ndre, fe

search xtserial
net sj 3-2 st0039
net install st0039

xtserial yield_ndvi avg8_ndre , output

Can't run an autocorrelation(xtserial) for panel data (error: time variable not set, use tsset varname ...)


I have generated panel data and run fixed effects based on Hausman test results. However, I cannot check the autocorrelation and normality test for my panel data. I would really appreciate it if anyone could advise me on how to solve this problem.

[Andrew Musau]

xtset fid_ndvi

While xtset allows you to include only the panel-identifier, xtserial requires the time variable as well. So xtset your data again, including the time variable, below assumed to be named "year".

xtset fid_ndvi year

In any case, you can cluster using the panel identifier and forego testing for autocorrelation if you have \(N>T\). Additionally, with a sufficiently large sample, you can appeal to the central limit theorem and therefore not perform normality tests on your data (because the assumptions for many statistical tests that rely on normality are met).

[Shovkat Khodjaev]

Dear Andrew Musau,

Thank you very much