Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Testing for serial correlation in small panel samples

From   Scott Merryman <[email protected]>
To   [email protected]
Subject   Re: st: Testing for serial correlation in small panel samples
Date   Wed, 7 Sep 2011 13:10:05 -0500

It is based on -xtreg,fe-   The BFN Durbin Watson is also easy to calculate.


webuse grunfeld,clear
qui xtregar inv mva, fe lbi
disp "modified Bhargava et al. Durbin-Watson = " e(d1)

qui xtreg inve mval, fe
predict double e,e
gen double bfn = sum((e- l.e)^2)/sum(e^2)
cl bfn in l, noobs

The original BFN paper supplies upper and lower bounds for Durbin
Watson statistic.   For a large number of cross sections, if it less
than 2 then it would indicate positive serial correlation.


Bhargava, A., Franzini, and W. Narendranathan. 1982. "Serial
correlation and fixed effects model." Review of
    Economic Studies 49, p. 533 - 549.



On Wed, Sep 7, 2011 at 12:09 PM, christina sakali
<[email protected]> wrote:
> Dear Scott,
> thanks a lot for the suggestion.
> I have a question though: Does the Bhargava et al's DW stat., reported
> by the -lbi- option, refer to the original xtreg regression or the
> xtregar one, which is corrected for first-order serial correlation?
> I guess what I need to know is: can I use the Bhargava stat. from the
> -lbi- option  as an indication of serial correlation in my original
> xtreg regression or is this irrelevant?

*   For searches and help try:

© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index