I am attempting to obtain the autocorrelations and partial autocorrelations and to perform the Dickey-Fuller test on the first difference of variable OutputValue, i.e. d.OutputValue. However, my panel data has output by country and sector over 55 years with missing data on some time and sectors in some countries. This has led Stata to believe I am using multiple panels. Previously, my commands to identifying the data as panel data are as follows:
egen id = group(Country Sector)
xtset id Time
format Time %ty
sort id Time
I would like d.OutputValue to be the first difference of OutputValue within a particular sector in a country. I would also like to perform ac, pac and dfuller on d.OutputValue. Would that be possible? Thank you in advance!
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