<>

`Frank said he can't tsset his data, and that "SPSS offers users the
``post regression estimation option to test the independence of
``residuals terms using the Durbin-Watson test so that users can check
``the independence assumption. "
`

`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.
`

`If you're saying that there are dates associated with your
``observations, but they are not evenly spaced in calendar time, that's
``a different issue (and one that sometimes causes people to say that
``they can't tsset their data without creating unwanted gaps). Business-
``daily data (e.g. stock market quotes) are not evenly spaced in
``calendar time, but you can still put trading-day data on a time series
``calendar.
`

`As another poster recommended, Stata's cluster-robust covariance
``matrix allows you to consider that the errors within each cluster are
``arbitrarily correlated. You can calculate a cluster-robust VCE for
``cross-sectional data (e.g. firms nested within industry clusters), but
``that does not allow you to test for independence; it just gives you
``standard errors that take account of such departures from i.i.d. But
``without some structure you can't test for E e_i e_j = 0 for all i !=
``j, because you have only one observation on each covariance in your
``sample. Thus to test that the error covariance matrix is, for
``instance, diagonal, you need to impose some additional structure on
``the manner in which the off-diagonal elements are generated.
`
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html

` An Introduction to Stata Programming
``| http://www.stata-press.com/books/isp.html
` An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/