Because xtserial is not a built-in Stata command, you must install it from the archives. Follow these steps:
Assume you have a panel dataset with variables: install xtserial stata
xtserial does not require you to run xtreg beforehand. It internally uses the fixed-effects transformation. However, interpreting the test in context of your regression is helpful. Because xtserial is not a built-in Stata command,
), you have evidence of serial correlation. Don't panic! The most common fix is to use cluster-robust standard errors in your main regression: xtreg y x, fe vce(cluster id) However, interpreting the test in context of your
Since xtserial is a user-written command and not part of Stata's default suite, you must install it from the Statistical Software Components (SSC) archive. Run the following command in your Stata command window: ssc install xtserial Use code with caution. Copied to clipboard 2. Prepare your panel data