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Re: st: durbin-watson with panel data


From   Richard Sperling <rsperling@boo.net>
To   statalist@hsphsun2.harvard.edu
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 
article:

Bhargava, A., Franzini, L. and Narendranathan, W. (1983), Serial Correlation 
and the Fixed Effects Model, Review of Economic Studies, 49, 533-549.

hth
-- 
Richard
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