st: Using dwstat after regress and dfuller

["Coffey, Seamus" <s.coffey@ucc.ie>]

Can someone explain why dwstat returns different values (in Stata 8.0) after
the dfuller and regress commands for what are the equivalent regressions?

The results are shown below and you can see that the d value is 1.996121
after dfuller and is 1.314681 after regress.

I know the d statistic is not appropriate for an autogregressive model but
surely the computed value should be the same.

Thanks


. dfuller gdp, trend regress

Dickey-Fuller test for unit root                   Number of obs   =
87

                                ---------- Interpolated Dickey-Fuller
---------
                   Test         1% Critical       5% Critical      10%
Critical
                Statistic           Value             Value             Value
----------------------------------------------------------------------------
--
  Z(t)             -1.625            -4.069            -3.463
-3.158
----------------------------------------------------------------------------
--
* MacKinnon approximate p-value for Z(t) = 0.7815
----------------------------------------------------------------------------
--
D.gdp        |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
gdp          |
           L1 |  -.0603169   .0371113    -1.63   0.108    -.1341169
.013483
_trend       |   1.477641   .9172438     1.61   0.111     -.346399
3.301681
_cons        |   190.3836   103.5257     1.84   0.069    -15.48857
396.2559
----------------------------------------------------------------------------
--
. dwstat
Durbin-Watson d-statistic(  3,    87) =  1.996121

. regress D.gdp L.gdp n
       Source |       SS       df       MS              Number of obs =
87
-------------+------------------------------           F(  2,    84) =
1.32
        Model |  3388.93239     2   1694.4662           Prob > F      =
0.2721
     Residual |  107661.688    84  1281.68677           R-squared     =
0.0305
-------------+------------------------------           Adj R-squared =
0.0074
        Total |  111050.621    86  1291.28629           Root MSE      =
35.801
----------------------------------------------------------------------------
--
D.gdp        |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
gdp          |
           L1 |  -.0603169   .0371113    -1.63   0.108    -.1341169
.013483
n            |   1.477641   .9172438     1.61   0.111     -.346399
3.301681
_cons        |   190.3836   103.5257     1.84   0.069    -15.48857
396.2559
----------------------------------------------------------------------------
--
. dwstat
Durbin-Watson d-statistic(  3,    87) =  1.314681

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