porblems with bgodfrey test

[Christopher Helmreich]

Hi,

I want to test my panel data set for autocorrelation and run the Breusch-Godfrey test. Stata returns me the error "sample may not include multiple panels". What does this mean? What are multiple panels?

Thanks!

[Mark Schaffer]

"Multiple panels" means more than one panel. The reason Stata's official estat bgodfrey doesn't work in your application is because it doesn't support panel data.

If you're looking for tests for serial correlation in the panel data context, you have some options. Two from SSC are David Drukker's xtserial and actest by myself and Kit Baum.

[Christopher Helmreich]

Thank you!

[Diana Hechavarria]

Thanks Mark, I also had a similar problem. Very much appreciate your work in developing the program to run this test.