Re: st: DW-statistic for the example in Gujarati(2003) p.641

["Brian P. Poi" <bpoi@stata.com>]

On Fri, 9 Dec 2005, Armen Khachatryan wrote:

> I hope someone can give me a clue why I fail to get Durbin-Watson statistic
> when I replicate the example in Gujarati(2003) p.641 when regressing y on x2
> x3 using the famous Grunfeld investment data, and then typing -estat
> dwatson-?
> The error says -no multiple panels allowed-. Gujarati used Eviews, and I got
> the reported d-statistic using Eviews as well.
> In addition, I calculated the result step by step in Stata using the formula
> for d. I got  exactly what Eviews reported.
> By the way, the number for d reported in Gujarati (2003) p. 641 is not
> correct all other figures being the same as I get after the OLS in Stata and
> Eviews.
>
> My question: why I can't get that statistic in Stata directly? Am I missing
> an obvious thing? Thanks in advance.
>
> Armen
The Grunfeld dataset that accompanies Gujarati's text is actually a panel 
of 4 firms over 20 years.  In the example on p. 641 he runs a pooled 
regression, stacking the data for the four firms on top of each other.

To get Stata to compute the Durbin-Watson statistic, we need to trick it 
into thinking this is time series data.

Here is how I did that:

   insheet using guj.txt	// From the CD-ROM accompanying the book
   drop v5 v6
   rename v2 I
   rename v3 lagF
   rename v4 lagC
   gen year = real(substr(v1, length(v1)-3, .))
   gen str company = substr(v1, 2, 2)
   sort company year
   gen t = _n
   tsset t
   regress I lagF lagC
   estat dwatson

Durbin-Watson d-statistic(  3,    80) =  .3097946



I could not replicate Gujarati's reported DW statistic of 0.2187. 
Carrying out the formula in his text manually, I obtained precisely the 
same result as reported by -estat dwatson-.  Note that the DW statistic 
depends on the sort order of the data.

Hope this helps

   -- Brian Poi
   -- bpoi@stata.com
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