# Re: st: D-W and panel data

 From "Clive Nicholas" To statalist@hsphsun2.harvard.edu Subject Re: st: D-W and panel data Date Fri, 4 Jun 2004 00:57:50 +0100 (BST)

```Mikko Mäkinen wrote:

> I'm also a new user of Stata :-) As Justin wrote, you can calculate the
> D-W statistic by using dummies and OLS. So, how does the -dwstat2- command
> differ from the dummies and OLS approach?

Apparently, not much at all. Using wagepan.dta from Jeffrey M.
Wooldridge's suite of datasets
(http://wooldridge-datasets.swlearning.com/):

. gen id = _n

. tsset id
time variable:  id, 1 to 4360

. reg lwage year agric- union expersq

Source |       SS       df       MS              Number of obs =
4360
-------------+------------------------------           F( 33,  4326) =
52.71
Model |  354.627996    33  10.7463029           Prob > F      =
0.0000
Residual |  881.901646  4326   .20386076           R-squared     =
0.2868
-------------+------------------------------           Adj R-squared =
0.2814
Total |  1236.52964  4359  .283672779           Root MSE      =
.45151

------------------------------------------------------------------------------
lwage |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
year |   .0175141   .0062004     2.82   0.005     .0053582
.02967
agric |   .2171099   .0760737     2.85   0.004     .0679665
.3662534
black |  -.1226481   .0229259    -5.35   0.000    -.1675947
-.0777015
bus |   .3931705   .0620011     6.34   0.000     .2716166
.5147245
construc |   .4576362   .0628484     7.28   0.000     .3344212
.5808513
ent |  (dropped)
exper |   .0603432   .0118913     5.07   0.000     .0370301
.0836564
fin |   .5605775   .0676363     8.29   0.000     .4279758
.6931792
hisp |  -.0413889   .0217987    -1.90   0.058    -.0841256
.0013478
poorhlth |  -.0304731   .0532302    -0.57   0.567    -.1348315
.0738854
hours |  -.0000874   .0000131    -6.70   0.000     -.000113
-.0000618
manuf |   .5456511   .0588261     9.28   0.000     .4303219
.6609804
married |   .1130483   .0152518     7.41   0.000      .083147
.1429495
min |   .7033441   .0803993     8.75   0.000     .5457203
.860968
nrthcen |   -.095112   .0223457    -4.26   0.000     -.138921
-.051303
nrtheast |   .0214095   .0230724     0.93   0.353    -.0238242
.0666431
occ1 |   .0854797   .0387491     2.21   0.027     .0095117
.1614477
occ2 |   .0689334     .03759     1.83   0.067    -.0047622
.142629
occ3 |  (dropped)
occ4 |  -.0860991    .036848    -2.34   0.020      -.15834
-.0138582
occ5 |  -.0264525   .0354058    -0.75   0.455    -.0958659
.0429609
occ6 |  -.1017852   .0361376    -2.82   0.005    -.1726333
-.0309371
occ7 |  -.1267472   .0394001    -3.22   0.001    -.2039916
-.0495029
occ8 |  -.0688939   .0801958    -0.86   0.390    -.2261188
.0883311
occ9 |  -.1451409   .0378897    -3.83   0.000    -.2194242
-.0708577
per |    .388633    .077212     5.03   0.000     .2372579
.5400081
pro |   .2148503   .0615476     3.49   0.000     .0941854
.3355151
pub |   .4359741   .0661164     6.59   0.000     .3063521
.5655961
rur |   -.110404   .0184424    -5.99   0.000    -.1465605
-.0742474
south |  -.0791108   .0207352    -3.82   0.000    -.1197624
-.0384593
educ |   .0742839   .0052508    14.15   0.000     .0639897
.0845781
tra |   .5766668   .0631995     9.12   0.000     .4527635
.7005701
trad |   .3201914    .058149     5.51   0.000     .2061896
.4341932
union |    .173667   .0169976    10.22   0.000     .1403431
.206991
expersq |  -.0019649   .0006943    -2.83   0.005     -.003326
-.0006038
_cons |  -34.43747   12.23924    -2.81   0.005    -58.43265
-10.44229
------------------------------------------------------------------------------

. dwstat

Durbin-Watson d-statistic( 34,  4360) =  2.096452

. dwstat2

Durbin-Watson d-statistic( 34,  4360) =  2.096452

With apologies for the messy output. Kit Baum may be able to shed more
light on what the "minor modifications" are for -dwstat2- when he has time

CLIVE NICHOLAS        |t: 0(044)191 222 5969
Politics              |e: clive.nicholas@ncl.ac.uk
Newcastle University  |http://www.ncl.ac.uk/geps
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```