Why don't you check the help files of the following Stata syntaxes and chose the appropriate one: 1) xtserial, 2) abar, 3) xtistest, 4) xtserialpm.

BR, Davit

Another alternative would be to use xthrtest

https://ideas.repec.org/c/boc/bocode/s458235.html

1. Specifying autocorrelations for panel data can be obtained with the command "correlate":

• sort id t

• correlate ly L.ly ---> Remember, y is the independent variable

2. We can also calculate autocorrelations on all possible lags in the data set:

• quietly regress ly x1 x2 x3 x4, vce(cluster id)
• predict uhat, residuals
• forvalues j = 1/6 {quietly corr uhat L`j'.uhat display "Autocorrelation in `j' = " %6.3f r(rho)}

When errors are serially autocorrelated, we should use robust cluster standard errors.

I hope this helps you. Regards.

Thanks I'll try it

Another alternative is the Box-Pierce test of autocorrelation for panel data using the "lmabpxt" package.

https://blog.ms-researchhub.com/2020/06/17/box-pierce-test-of-autocorrelation-in-panel-data-using-stata/

xtserial DV IV

I am facing issue in checking autocorrelation for my panel data model having interaction terms. I have used xtserial command and interactions have been created using ## symbol between the two variables. The error I have got after running xtserial command is that "factor connotations and time series operators not allowed". Can anyone please help me in solving this issue.

Thanks in advance

After running the xtserial command, the feedback I get is “no observations r(2000);” what may be the cause ?

After running the xtserial command, the feedback I get is “no observations r(2000);” what may be the cause ?

When applying the xtserial DV IV1 IV2 IV3 for my panel data, always p value is 0.000 even when i transform my data into Log, 1st difference or square root. Any suggestion plz?

I am running panel data analysis. How can I run auto-correlation test of Wooldridge for panel data in Stata?