Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: durbin-watson with panel data

From   Richard Sperling <>
Subject   Re: st: durbin-watson with panel data
Date   Fri, 22 Nov 2002 12:57:17 -0500

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
> peter

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.

*   For searches and help try:

© Copyright 1996–2017 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index