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st: Re: DW and panel data
On Jun 3, 2004, at 7:33 AM, Clive wrote:
Welcome to the Statalist, Justin. No worries: I'm a simple man who
Yes,and no. dwstat2 will calculate the DW stat for a SINGLE timeseries'
worth of residuals from, e.g., xtreg. It will NOT calculate a single DW
stat from a panel data regression, for the simple reason that it makes
no sense whatsoever to do so (even if the regression is run as pooled
OLS). The D-W statistic, like any measure of AR(1) in time series, is
looking for the first-order autocorrelation coefficient. If you use
pooled OLS, it will take the 1st obs on unit 2 to be one time period
later than the last obs on unit 1, etc. For that reason the official
Stata commands (cf. panelauto) will not run at all in a panel context.
This is too harsh, perhaps, since if you know what you are doing (and
estimate a DW separately for each TS in the panel) there is nothing
wrong with that.
simple questions! The -dwstat- command is what you're looking for, I
. reg y x1 x2
However, for panel models like -xtreg- and the rest, Kit Baum's
- -panelauto- includes a slightly different version, called -dwstat2-:
- -ssc install panelauto.
One could compute an average of the DWs from the panel; that would be
similar to one of the panel unit root tests, which averages
Dickey-Fuller t statistics over the panel. But I do not know what the
statistical properties of that average might be in terms of making an
inference, which would presumably be that none of the TS in the panel
have \rho differing from zero.
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