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Re: st: durbin-watson with panel data
On Friday 22 November 2002 11:30, Peter Haan wrote:
> Hi Statalist,
> How can I perform a Durbin Watson test, or another test controlling for
> serial corr after having done a fixed effect estimation.
> I tried using dwstat, bgtest and durbinh after xtreg, and after dummy
> variable estimation, however stata indicates that these comands might
> not work with panel data.
> Thanks for your help
In the event that there is no built-in routine to do it, see pp. 324-5 of _A
Guide to Econometrics_ by Marno Verbeek. He also references the following
Bhargava, A., Franzini, L. and Narendranathan, W. (1983), Serial Correlation
and the Fixed Effects Model, Review of Economic Studies, 49, 533-549.
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