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Re: st: re: tsset with non-integers


From   Michael Hanson <mshanson@mac.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re: tsset with non-integers
Date   Fri, 08 May 2009 19:48:10 -0400

On May 7, 2009, at 1:23 PM, Kit Baum wrote:

Calculating a D-W statistic on, e.g., a cross-section is asinine, and a program that lets you do it is a pretty lousy piece of software. As the sort order of a cross section is arbitrary, I can change the "serial correlation" between successive observations by just sorting the data on some other key.


On May 7, 2009, at 2:06 PM, Nick Cox wrote:

While we're chuckling at what appears to be poor practice elsewhere, let's remember that all statistical programs basically assume at some level that users take responsibility for what they do.


On May 8, 2009, at 1:30 AM, John Antonakis wrote:

I have seen this wrong suggestion all over the place (based on a quick scan of the net).


Back when I used to teach intro econometrics, my department decided to standardize on EViews -- version 4 or 5, I believe -- because of purported "ease of use". It would always report a Durbin-Watson statistic with every OLS estimation, whether the data were cross- sectional or time series. I would repeatedly explain that the D-W statistic was only applicable to time series questions -- and, even then, only under certain rather restrictive conditions. Nonetheless, a small percentage of students each year would insist on reporting the value of the D-W statistic for cross-sectional regressions in their final course project, and proudly explain that a value near 2 meant their regressions did not suffer from serial correlation. Such papers helped significantly with determining the grade distribution.

In the advanced econometrics course, I allowed students to use EViews if they insisted, but taught the course (and assigned problem sets) using Stata. The mantra of that class was: "Never push a button or type a command you do not fully understand." Most (but not all) the students got the message the second time around.

-- Mike
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