Dear all:
I have a time-series cross-section dataset. When I use xtpcse with AR(1) option "c(a)", I get the following message. I understand that I get the message because there are gaps in my dataset (unbalanced), and the AR(1) option assumes balanced data. But what does it mean for the results that Stata's xtpcse produces? The results cannot be trusted? Or they can be trusted, although estimated rho may not be appropriate?
I thank you in advance for your kind help.
Best,
Taka Sakamoto
-----------------------------------------
. xtpcse mfppwt l4.redisp l4.lfamtotppp l4.lsecondarygdppop l4.lalmptotppp l4.igerdgov l4.popgrow l4.lcgdpopc if year
> <2009,c(a) p
Number of gaps in sample: 28
(note: computations for rho restarted at each gap)
(note: estimates of rho outside [-1,1] bounded to be in the range [-1,1])
(note: at least one disturbance covariance assumed 0, no common time periods
between panels)
Prais-Winsten regression, correlated panels corrected standard errors (PCSEs)
Group variable: id Number of obs = 215
Time variable: year Number of groups = 17
Panels: correlated (unbalanced) Obs per group:
Autocorrelation: common AR(1) min = 2
Sigma computed by pairwise selection avg = 12.647059
max = 22
Estimated covariances = 153 R-squared = 0.1254
Estimated autocorrelations = 1 Wald chi2(7) = 19.00
Estimated coefficients = 8 Prob > chi2 = 0.0082
----------------------------------------------------------------------------------
| Panel-corrected
mfppwt | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-----------------+----------------------------------------------------------------
redispov |
L4. | -.0512275 .0269678 -1.90 0.057 -.1040834 .0016284
|
lfamtotppp |
L4. | .3697768 .365409 1.01 0.312 -.3464116 1.085965
|
lsecondarygdppop |
L4. | .1587017 .1843462 0.86 0.389 -.2026102 .5200137
|
lalmptotppp |
L4. | .4643055 .3519623 1.32 0.187 -.2255279 1.154139
|
igerdgov2 |
L4. | 1.657015 .7539443 2.20 0.028 .1793118 3.134719
|
popgrow |
L4. | -.2262848 .3279123 -0.69 0.490 -.8689812 .4164116
|
lcgdpopc |
L4. | -3.314369 1.592007 -2.08 0.037 -6.434645 -.1940926
|
_cons | 32.64075 13.82515 2.36 0.018 5.54396 59.73755
-----------------+----------------------------------------------------------------
rho | .4644425
----------------------------------------------------------------------------------
I have a time-series cross-section dataset. When I use xtpcse with AR(1) option "c(a)", I get the following message. I understand that I get the message because there are gaps in my dataset (unbalanced), and the AR(1) option assumes balanced data. But what does it mean for the results that Stata's xtpcse produces? The results cannot be trusted? Or they can be trusted, although estimated rho may not be appropriate?
I thank you in advance for your kind help.
Best,
Taka Sakamoto
-----------------------------------------
. xtpcse mfppwt l4.redisp l4.lfamtotppp l4.lsecondarygdppop l4.lalmptotppp l4.igerdgov l4.popgrow l4.lcgdpopc if year
> <2009,c(a) p
Number of gaps in sample: 28
(note: computations for rho restarted at each gap)
(note: estimates of rho outside [-1,1] bounded to be in the range [-1,1])
(note: at least one disturbance covariance assumed 0, no common time periods
between panels)
Prais-Winsten regression, correlated panels corrected standard errors (PCSEs)
Group variable: id Number of obs = 215
Time variable: year Number of groups = 17
Panels: correlated (unbalanced) Obs per group:
Autocorrelation: common AR(1) min = 2
Sigma computed by pairwise selection avg = 12.647059
max = 22
Estimated covariances = 153 R-squared = 0.1254
Estimated autocorrelations = 1 Wald chi2(7) = 19.00
Estimated coefficients = 8 Prob > chi2 = 0.0082
----------------------------------------------------------------------------------
| Panel-corrected
mfppwt | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-----------------+----------------------------------------------------------------
redispov |
L4. | -.0512275 .0269678 -1.90 0.057 -.1040834 .0016284
|
lfamtotppp |
L4. | .3697768 .365409 1.01 0.312 -.3464116 1.085965
|
lsecondarygdppop |
L4. | .1587017 .1843462 0.86 0.389 -.2026102 .5200137
|
lalmptotppp |
L4. | .4643055 .3519623 1.32 0.187 -.2255279 1.154139
|
igerdgov2 |
L4. | 1.657015 .7539443 2.20 0.028 .1793118 3.134719
|
popgrow |
L4. | -.2262848 .3279123 -0.69 0.490 -.8689812 .4164116
|
lcgdpopc |
L4. | -3.314369 1.592007 -2.08 0.037 -6.434645 -.1940926
|
_cons | 32.64075 13.82515 2.36 0.018 5.54396 59.73755
-----------------+----------------------------------------------------------------
rho | .4644425
----------------------------------------------------------------------------------
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