I would like to test my panel data for serial correlation. The panel data is unbalanced and has gaps. Therefore, I was looking for test that can handle any sort of unbalancedness. So far, I found the Arellano-Bond (abar) / Cumby-Huizinga (actest) and Wooldridge's (xtserial) test for autocorrelation which meet my requirements.

Here is my code and my results:

Code:
xtset FE_1 FE_2

regress depvar vars i.FE_1 i.FE_2

Cumby-Huizinga test for autocorrelation
Code:
actest, lags(20)

Cumby-Huizinga test for autocorrelation
  H0: variable is MA process up to order q
  HA: serial correlation present at specified lags >q
-----------------------------------------------------------------------------
  H0: q=0 (serially uncorrelated)        |  H0: q=specified lag-1
  HA: s.c. present at range specified    |  HA: s.c. present at lag specified
-----------------------------------------+-----------------------------------
    lags   |      chi2      df     p-val | lag |      chi2      df     p-val
-----------+-----------------------------+-----+-----------------------------
   1 -  1  |    757.212      1    0.0000 |   1 |    757.212      1    0.0000
   1 -  2  |    1385.812     2    0.0000 |   2 |    695.011      1    0.0000
   1 -  3  |    1789.365     3    0.0000 |   3 |    506.361      1    0.0000
   1 -  4  |    2273.550     4    0.0000 |   4 |    639.468      1    0.0000
   1 -  5  |    2629.892     5    0.0000 |   5 |    546.467      1    0.0000
   1 -  6  |    2755.502     6    0.0000 |   6 |    245.182      1    0.0000
   1 -  7  |    2842.962     7    0.0000 |   7 |    219.924      1    0.0000
   1 -  8  |    2935.920     8    0.0000 |   8 |    222.080      1    0.0000
   1 -  9  |    3075.582     9    0.0000 |   9 |    275.906      1    0.0000
   1 - 10  |    3157.055     10   0.0000 |  10 |    209.879      1    0.0000
   1 - 11  |    3265.898     11   0.0000 |  11 |    233.459      1    0.0000
   1 - 12  |    3300.320     12   0.0000 |  12 |    142.085      1    0.0000
   1 - 13  |    3343.435     13   0.0000 |  13 |    154.606      1    0.0000
   1 - 14  |    3393.600     14   0.0000 |  14 |    156.435      1    0.0000
   1 - 15  |    3407.393     15   0.0000 |  15 |     83.492      1    0.0000
   1 - 16  |    3468.555     16   0.0000 |  16 |    174.376      1    0.0000
   1 - 17  |    3478.740     17   0.0000 |  17 |     67.731      1    0.0000
   1 - 18  |    3531.506     18   0.0000 |  18 |    156.942      1    0.0000
   1 - 19  |    3619.679     19   0.0000 |  19 |    207.440      1    0.0000
   1 - 20  |    3676.357     20   0.0000 |  20 |    171.505      1    0.0000
-----------------------------------------------------------------------------
  Test allows predetermined regressors/instruments
  Test requires conditional homoskedasticity

Arellano-Bond test for autocorrelation
Code:
abar, lags(20)

Arellano-Bond test for AR(1): z =  27.51  Pr > z = 0.0000
Arellano-Bond test for AR(2): z =  26.38  Pr > z = 0.0000
Arellano-Bond test for AR(3): z =  22.57  Pr > z = 0.0000
Arellano-Bond test for AR(4): z =  25.37  Pr > z = 0.0000
Arellano-Bond test for AR(5): z =  23.49  Pr > z = 0.0000
Arellano-Bond test for AR(6): z =  15.74  Pr > z = 0.0000
Arellano-Bond test for AR(7): z =  14.94  Pr > z = 0.0000
Arellano-Bond test for AR(8): z =  15.00  Pr > z = 0.0000
Arellano-Bond test for AR(9): z =  16.72  Pr > z = 0.0000
Arellano-Bond test for AR(10): z =  14.59  Pr > z = 0.0000
Arellano-Bond test for AR(11): z =  15.40  Pr > z = 0.0000
Arellano-Bond test for AR(12): z =  12.04  Pr > z = 0.0000
Arellano-Bond test for AR(13): z =  12.54  Pr > z = 0.0000
Arellano-Bond test for AR(14): z =  12.62  Pr > z = 0.0000
Arellano-Bond test for AR(15): z =   9.22  Pr > z = 0.0000
Arellano-Bond test for AR(16): z =  13.34  Pr > z = 0.0000
Arellano-Bond test for AR(17): z =   8.30  Pr > z = 0.0000
Arellano-Bond test for AR(18): z =  12.65  Pr > z = 0.0000
Arellano-Bond test for AR(19): z =  14.55  Pr > z = 0.0000
Arellano-Bond test for AR(20): z =  13.23  Pr > z = 0.0000


Wooldridge test for autocorrelation in panel data
Code:
xtserial depvar vars

Wooldridge test for autocorrelation in panel data
H0: no first-order autocorrelation
    F(  1,    2765) =      0.000
           Prob > F =      0.9980
I was expecting no serial correlation. But, based on abar and actest I have strong support for serial correlation (even for higher lags). In contrast, Wooldridge's test for serial correlation is indicating no serial correlation...
  • Why do the test have very different results?
  • What is my mistake?
  • What else should I check?

Best regards,
Olaf