Dear Statalist,
I am running a fixed effect model (with clustering at firm level) to model investment behaviour of firms in response to their past performance and past industry performance and I am unsure of whether I should include a lagged dependent variable in the regression (i.e. investment at t-1).
My supervisor now told me to start by reporting the results from the static regressions and potentially move onward to a dynamic regression.
I read in Cameron and Miller (2015) that the best rationale for deciding between a static vs a dynamic model is to run a test of serial correlation. They refer to Inoue and Solon 2006, a Portmanteau test .
Now, I already ran a xtserial test and it rejected the H0 of no serial correlation. Do I have to run an additional command like xtistest? Or would it essentially do the same work as xtserial?
Secondly, does clustering at firm level correct for serial correlation? I thought it does, but it would help me to get some confirmation here.
Many thanks for any advice on this!
Katharina
Related Posts with Static or dynamic panel data regression, test for serial correlation
Check if variable is constant within IDHi everyone, I have a dataset that that looks like this: state year legis_control NH 2009 Dem …
Using Synthetic Control Weights in a Difference in Differences model (SDID)Hi everyone, I am currently conducting a synthetic control (sc) model and would now like to use my …
Egen command; minimum value over last 5 observationsHi! I would like to create a new variable where each value is the minimum value of the previous 5 v…
How to graph bootstrap distribution regarding indirect effect estimates and effect ratio?To whom that has the expertise on the above questions, I used bootstrap methods to test the signifi…
Formatting the by() variable in tabstatHello, I am working with a database structured at the firm-year-month level. I am using --tabstat--…
Subscribe to:
Post Comments (Atom)
0 Response to Static or dynamic panel data regression, test for serial correlation
Post a Comment