st: Re: durbina2

[Kit Baum <baum@bc.edu>]

All of the routines in my 'panelauto' package require that you  
provide a single panel. Thus

webuse grunfeld
reg invest L.invest time
durbina2

reports an error, since more than one panel (company) enters the  
regression. But if you reg ... if company==1 you may then use  
durbina2.  Official Stata 7's durbina will not work in that context.  
But Durbin's alternative test (like the D-W) is not made to test for  
AR(1) in multiple time series, so your regression below cannot be  
followed by a Durbin test of any flavor.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


On Sep 28, 2005, at 2:33 AM, statalist-digest wrote:


> xi: regress lnpoll predict flux pop_dens pop_dens2 year i.index, where
> index is my panel variable.
>
> Then, I type
>
> durbina2
>
> and the error message I get is:
>
> if not allowed
> r(101);
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