Following the same logic as my prior posting (regarding unit root tests
on individual timeseries within a panel), there is no good reason why
one should not be able to calculate a Durbin-Watson, Breusch-Godfrey,
ARCH, or Durbin "h" test on a single timeseries in a panel. Since I was
the original (co-)author of three of those routines, I am pleased to
present a package of improved routines which implement commands
arch2 (the previously circulated archlm, STB54),
bgodfrey2 (the previously circulated bgtest, STB55),
dwstat2,
durbina2 (the previously circulated durbinh, STB55)
that are very minor modifications of the official routines, but work on
a single timeseries of a panel (as would be specified with an "in" or
"if" qualifier). These routines may be accessed from
ssc install panelauto
and may be automated, as my prior posting indicated for "dfgls2".
