Autocorrelation "xtserial"

[Nermine Medhioub]

Hello Stata Community
I have a problem running the "xtserial" command in my panel data. I get the error message: no observation, maybe because I have 2 years only.
How can I solve this problem please.

[Andrew Musau]

You cannot test for serial correlation with two time periods only.

[Carlo Lazzaro]

Nermine:
you can check the relevance of Andrew's helpful explanation via the following toy-example, that elaborates on page 251-253 of A. Cameron, P. Trivedi. Microeconometrics Using Stata. Revised edition. College Station, TX: Stata Press, 2010 (the panel starts at year=68):

. use https://www.stata-press.com/data/r18/nlswork.dta
(National Longitudinal Survey of Young Women, 14-24 years old in 1968)

. xtset idcode year

Panel variable: idcode (unbalanced)
 Time variable: year, 68 to 88, but with gaps
         Delta: 1 unit

. xtreg ln_wage c.age##c.age, fe vce(cluster idcode)

Fixed-effects (within) regression               Number of obs     =     28,510
Group variable: idcode                          Number of groups  =      4,710

R-squared:                                      Obs per group:
     Within  = 0.1087                                         min =          1
     Between = 0.1006                                         avg =        6.1
     Overall = 0.0865                                         max =         15

                                                F(2, 4709)        =     507.42
corr(u_i, Xb) = 0.0440                          Prob > F          =     0.0000

                             (Std. err. adjusted for 4,710 clusters in idcode)
------------------------------------------------------------------------------
             |               Robust
     ln_wage | Coefficient  std. err.      t    P>|t|     [95% conf. interval]
-------------+----------------------------------------------------------------
         age |   .0539076    .004307    12.52   0.000     .0454638    .0623515
             |
 c.age#c.age |  -.0005973    .000072    -8.30   0.000    -.0007384   -.0004562
             |
       _cons |    .639913   .0624195    10.25   0.000     .5175415    .7622845
-------------+----------------------------------------------------------------
     sigma_u |   .4039153
     sigma_e |  .30245467
         rho |  .64073314   (fraction of variance due to u_i)
------------------------------------------------------------------------------

. predict res, e
(24 missing values generated)

. forvalues i = 68/70 {
  2. quietly corr res L1.res if year==`i'
  3. display "Autocorrelation at lag 1 in year`i' = " %6.3f r(rho)
  4.  }
no observations;

. forvalues i = 69/70 {
  2. quietly corr res L1.res if year==`i'
  3. display "Autocorrelation at lag 1 in year`i' = " %6.3f r(rho)
  4.  }
Autocorrelation at lag 1 in year69 =  0.351
Autocorrelation at lag 1 in year70 =  0.485


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