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which xtserial Successful output:
xtserial is preferred for unbalanced panels and when heteroskedasticity is suspected. In a research pipeline, ensure your do-file installs the package automatically: xtserial stata install
Abstract Serial correlation in the idiosyncratic errors of panel data models can bias standard errors and lead to invalid inference. The user-written command xtserial (Drukker, 2003) implements a robust test for first-order serial correlation in linear panel-data models with random or fixed effects. This paper provides a comprehensive guide to installing xtserial in Stata, covering both official and alternative methods, addressing common errors, and illustrating the command’s use with an empirical example. 1. Introduction Panel data combine time-series and cross-sectional dimensions, making them rich for analysis but also prone to serial correlation. While Stata’s built-in xtreg post-estimation commands (e.g., xtserial, xthrtest ) offer some diagnostics, the xtserial command—written by David M. Drukker (StataCorp)—provides a direct implementation of the Wooldridge (2002) test for serial correlation. This test is attractive because it works under general conditions and is robust to heteroskedasticity. which xtserial Successful output: xtserial is preferred for
. ssc install xtserial, replace checking xtserial consistency and verifying not already installed... installing into C:\Users\jdoe\ado\plus\... downloading xtserial.pkg from http://fmwww.bc.edu/repec/bocode/x/ downloading xtserial.ado done. End of paper This paper provides a comprehensive guide to installing
Wooldridge test for serial correlation in panel-data models H0: no first-order serial correlation F( 1, 4134) = 27.839 Prob > F = 0.0000 Reject H0 at any conventional level → strong evidence of positive first-order serial correlation. Standard errors from xtreg, fe would be biased downward; use cluster-robust or Prais-Winsten transformation. 7. Relationship with Other Commands | Command | Test | Panel type | Robustness | |---------|------|------------|-------------| | xtserial | Wooldridge (2002) | Unbalanced | Heteroskedasticity-robust | | xthrtest | Wooldridge (2002) for random effects | Balanced only | Not robust | | estat serial | Ljung-Box (after xtregar ) | Requires balanced | Not robust |
cap ado uninstall xtserial net install xtserial, from("C:/local/path/") Some users mirror SSC on GitHub. For example:
net describe xtserial, from(http://fmwww.bc.edu/RePEc/bocode/x) net install xtserial Alternatively, use the ssc command (wrapper for net ):
