Help about STATA autocorrelation test and plotting residuals

From: Luigi Curini (luigi.curini_at_unimi.it)
Date: 01/19/05 

Date: Wed, 19 Jan 2005 09:36:19 +0100

Dear all,

I have 2 questions related to how to employ particular statistical tests in
STATA:

1) Autocorrelation in pooled time series: I have been using the Stata
command "xtpcse" to analyze pooled time series, cross-sectional data. I'm
stuck on a question about autocorrelation. When you include an AR(1) term,
rho is reported in the output. Generally, ourunderstanding is that if rho is
significant, the AR(1) term is necessary. However, in the Stata output,
there is no significance test for rho. Does anyone know how to determine if
rho is significant when using xtpcse? Alternately, does anyone know a better
test for autocorrelation in using xtpcse in Stata?

2) Plotting residuals along with 95% confidence intervals: I have a variable
that contains regression residuals for my obs. I would like to look at the
confidence intervals around them to see whether they do overlap 0 (i.e.
whether they differ significantly from the overall average line). Is there
any way in Stata to plot these
residuals in an ascending order with 95% confidence intervals?

Thank you in advance!

LC