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st: Durbin-Watson in Stata for non-time-series

From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: Durbin-Watson in Stata for non-time-series
Date   Mon, 20 Nov 2006 11:09:27 -0500

Maj Ruter said

Thanks to everyone who responded. What I am trying to do is perform a
specification test to verify that I have correctly modeled a binary
choice probit. The probit is modeling a cost overrun as a function of
the number of times a contract budget has changed, contract length,
industry concentration, change in R&D budget, change in procurement
budget, inflation, and the technology readiness of the commodity.

My thesis advisor has asked me to calculate the D-W statistic for my
model, but, after everything I've read and the responses I received
here, it does not seem like an appropriate test for my case.

What you are looking for (and perhaps your advisor was thinking of) is a test of the independence of the errors. For a binomial probit model, you are assuming that the errors are properly modeled as Normal iid. Tests for normality of the errors -- for instance, for the 3d and 4th moments (Jarque-Bera and the like) would seem appropriate, as well as general tests of the distribution (Q-Q plots? Kolmogorov-Smirnov tests?) as well as tests for heteroskedasticity. Estimation with hetprob might be useful.

Kit Baum, Boston College Economics
An Introduction to Modern Econometrics Using Stata:

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