Abstract Serial correlation in the idiosyncratic errors of panel data models can bias standard errors and lead to invalid inference. The user-written command xtserial (Drukker, 2003) implements a robust test for first-order serial correlation in linear panel-data models with random or fixed effects. This paper provides a comprehensive guide to installing xtserial in Stata, covering both official and alternative methods, addressing common errors, and illustrating the command’s use with an empirical example. 1. Introduction Panel data combine time-series and cross-sectional dimensions, making them rich for analysis but also prone to serial correlation. While Stata’s built-in xtreg post-estimation commands (e.g., xtserial, xthrtest ) offer some diagnostics, the xtserial command—written by David M. Drukker (StataCorp)—provides a direct implementation of the Wooldridge (2002) test for serial correlation. This test is attractive because it works under general conditions and is robust to heteroskedasticity.
checking xtserial consistency and verifying not already installed... installing into C:\Users\...\ado\plus\... installation complete. If behind a firewall or with no internet, manually download xtserial.pkg and xtserial.ado from https://ideas.repec.org/c/boc/bocode/s434901.html . Then place the .ado file in your personal ado folder (e.g., ~/ado/personal/ ) and run:
net install xtserial, from("https://raw.githubusercontent.com/StataUser/ssc-mirror/main/xtserial") Caution: Verify the mirror’s integrity before use. After installation, run:
else display as green "xtserial already installed."
This prevents errors when sharing code with collaborators. xtserial is an essential tool for applied panel data econometrics in Stata. Its installation is straightforward via ssc install xtserial , but users must be aware of proxy settings, permissions, and verification steps. Once installed, the command provides a robust, easy-to-interpret test for first-order serial correlation, improving the credibility of panel regression results.
capture which xtserial if _rc == 111 display as yellow "Installing xtserial from SSC..." ssc install xtserial, replace
which xtserial Successful output:
. ssc install xtserial, replace checking xtserial consistency and verifying not already installed... installing into C:\Users\jdoe\ado\plus\... downloading xtserial.pkg from http://fmwww.bc.edu/repec/bocode/x/ downloading xtserial.ado done. End of paper
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Abstract Serial correlation in the idiosyncratic errors of panel data models can bias standard errors and lead to invalid inference. The user-written command xtserial (Drukker, 2003) implements a robust test for first-order serial correlation in linear panel-data models with random or fixed effects. This paper provides a comprehensive guide to installing xtserial in Stata, covering both official and alternative methods, addressing common errors, and illustrating the command’s use with an empirical example. 1. Introduction Panel data combine time-series and cross-sectional dimensions, making them rich for analysis but also prone to serial correlation. While Stata’s built-in xtreg post-estimation commands (e.g., xtserial, xthrtest ) offer some diagnostics, the xtserial command—written by David M. Drukker (StataCorp)—provides a direct implementation of the Wooldridge (2002) test for serial correlation. This test is attractive because it works under general conditions and is robust to heteroskedasticity.
checking xtserial consistency and verifying not already installed... installing into C:\Users\...\ado\plus\... installation complete. If behind a firewall or with no internet, manually download xtserial.pkg and xtserial.ado from https://ideas.repec.org/c/boc/bocode/s434901.html . Then place the .ado file in your personal ado folder (e.g., ~/ado/personal/ ) and run:
net install xtserial, from("https://raw.githubusercontent.com/StataUser/ssc-mirror/main/xtserial") Caution: Verify the mirror’s integrity before use. After installation, run: xtserial stata install
else display as green "xtserial already installed."
This prevents errors when sharing code with collaborators. xtserial is an essential tool for applied panel data econometrics in Stata. Its installation is straightforward via ssc install xtserial , but users must be aware of proxy settings, permissions, and verification steps. Once installed, the command provides a robust, easy-to-interpret test for first-order serial correlation, improving the credibility of panel regression results. Abstract Serial correlation in the idiosyncratic errors of
capture which xtserial if _rc == 111 display as yellow "Installing xtserial from SSC..." ssc install xtserial, replace
which xtserial Successful output:
. ssc install xtserial, replace checking xtserial consistency and verifying not already installed... installing into C:\Users\jdoe\ado\plus\... downloading xtserial.pkg from http://fmwww.bc.edu/repec/bocode/x/ downloading xtserial.ado done. End of paper