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st: durbin watson

From   Christopher Baum <>
Subject   st: durbin watson
Date   Fri, 05 May 2006 16:21:05 -0400

Rudy said
Does Stata have a way of calculating the p-value for a Durbin-Watson 
statistic? SAS does this and it is a lot easier for students because 
they don't have to rely on a Durbin-Watson table which can result in the 
test being inconclusive.

I would advise against reliance on the D-W statistic. IMHO the Breusch-Godfrey test is much more useful. When you consider a single lag, B-G is "Durbin's alternative test" that one uses when the D-W is inappropriate. But with multiple lags, one can consider higher-order AR or MA alternatives. Students all too often consider a satisfactory (or inconclusive) D-W as evidence of independence of the errors, a quite erroneous conclusion. I would be much more inclined to believe the results of bgodfrey with a healthy number of lags.

Kit Baum, Boston College Economics
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