I've just cut and pasted the documentation in the Stata file below. The Matlab code has an associated help-file embedded. My (currently ad-hoc) help file for the Stata script is below the fold. infinity) the standard error estimates are too small, but for shorter lag lengths the bias may be of either sign. The previous version (v2) sometimes over-inflated or under-estimated the standard error estimate adjustment due to auto-correlation, but the magnitude of this effect depends on both the serial-correlation structure in the data and the maximum lag length parameter ( lagcutoff ) determined by the user. This error did not affect calculations for the influence of spatial autocorrelation within contemporary observations or adjustments for heteroskedasticity. This error did not affect the Matlab implementation.
#Correlation in stata update#
STATA VERSION 3 UPDATE 2018: Thanks to some careful bug-chasing by Mathias Thoenig and Jordan Adamson, I've fixed a single line of code that led to a miscalculation in the weights for autocorrelation across within-unit panel observations. Most useful changes: the code now correctly accepts the wildcard "*" when specifying variables and the option "dropvar" can be used to drop variables that Stata regards as 'too collinear' (contributed by KM). STATA VERSION 2 UPDATE 2013: Thanks to my field-testing team (Gordon McCord and Kyle Meng), several bugs in the code and additional options have been added. you can output your results using "outreg2"). The Stata version follows the format of all Stata estimates, so it should be compatible with post-estimation commands (eg.