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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 12:59:19 -0500

On Friday 22 November 2002 12:57, you wrote:
> 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

Change the title of the Verbeek book to _A Guide to Modern Econometrics_.
-- 
Richard
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