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Re: st: RE: AR(1) Test in panel data
From
Scott Merryman <[email protected]>
To
[email protected]
Subject
Re: st: RE: AR(1) Test in panel data
Date
Wed, 11 Aug 2010 07:12:59 -0500
-xtregar, lbi- reports the Bhargava, Franzini, Narendranathan (1982)
DW statistic and the Baltagi-Wu (1999) test statistic.
The p-values are not reported but Bhargava, Franzini, Narendranathan
did generate some table of critical values (see also
http://books.google.com/books?id=uEFm6pAJZhoC&lpg=PP1&pg=PA374#v=onepage&q&f=false
):
Tables for lower and upper bonds for DW statistic
Upper and lower bounds when T = 6 (95% confidence level)
-----------------------------------------------------------------------------
N= 50 N = 100 N = 150
lower upper lower upper lower upper
k = 1 1.8091 1.8231 1.8660 1.8731 1.8907 1.8958
k = 3 1.7954 1.8376 1.8592 1.8799 1.8859 1.8998
k = 5 1.7805 1.8517 1.8523 1.8867 1.8819 1.9046
k = 7 1.7665 1.8657 1.8444 1.8937 1.8770 1.9094
k = 9 1.7523 1.8812 1.8386 1.9018 1.8720 1.9145
k = 11 1.7380 1.8956 1.8304 1.9086 1.8671 1.9185
k = 13 1.7211 1.9118 1.8283 1.9158 1.8631 1.9233
k = 15 1.7063 1.9267 1.8163 1.9227 1.8580 1.9284
N= 250 N = 500 N = 1000
lower upper lower upper lower upper
k = 1 1.9158 1.9183 1.9409 1.9413 1.9579 1.9586
k = 3 1.9135 1.9217 1.9393 1.9427 1.9573 1.9593
k = 5 1.9100 1.9240 1.9378 1.9441 1.9567 1.9560
k = 7 1.9070 1.9265 1.9363 1.9455 1.9551 1.9606
k = 9 1.9044 1.9296 1.9349 1.9468 1.9544 1.9614
k = 11 1.9021 1.9321 1.9333 1.9482 1.9538 1.9621
k = 13 1.8987 1.9354 1.9319 1.9497 1.9531 1.9628
k = 15 1.8956 1.9379 1.9304 1.9511 1.9524 1.9630
-----------------------------------------------------------------------------
Upper and lower bounds when T = 10 (95% confidence level)
-----------------------------------------------------------------------------
N= 50 N = 100 N = 150
lower upper lower upper lower upper
k = 1 1.8512 1.8596 1.8953 1.8991 1.9156 1.9160
k = 3 1.8421 1.8688 1.8907 1.9037 1.9117 1.9206
k = 5 1.8338 1.8769 1.8862 1.9081 1.9076 1.9244
k = 7 1.8258 1.8851 1.8826 1.9118 1.9056 1.9245
k = 9 1.8164 1.8945 1.8780 1.9164 1.9047 1.9284
k = 11 1.8072 1.9029 1.8734 1.9209 1.9003 1.9318
k = 13 1.7999 1.9126 1.8698 1.9275 1.8971 1.9341
k = 15 1.7903 1.9209 1.8651 1.9294 1.8946 1.9375
N= 250 N = 500 N = 1000
lower upper lower upper lower upper
k = 1 1.9336 1.9354 1.9528 1.9536 1.9668 1.9677
k = 3 1.9321 1.9370 1.9520 1.9544 1.9667 1.9679
k = 5 1.9303 1.9390 1.9509 1.9552 1.9663 1.9682
k = 7 1.9286 1.9405 1.9501 1.9561 1.9657 1.9686
k = 9 1.9270 1.9421 1.9492 1.9572 1.9652 1.9700
k = 11 1.9255 1.9445 1.9484 1.9580 1.9648 1.9705
k = 13 1.9241 1.9459 1.9476 1.9588 1.9642 1.9710
k = 15 1.9217 1.9474 1.9468 1.9569 1.9639 1.9712
-----------------------------------------------------------------------------
Where N is the number of cross sections, T is number of time periods
and k is the number of variables.
You might also find -pantest2- useful (findit pantest2 to locate and download).
Scott
Baltagi, B. H., and P. X. Wu. 1999. Unequally spaced panel data
regressions with AR(1) disturbances. Econometric
Theory 15: 814–823.
Bhargava, A., L. Franzini, and W. Narendranathan. 1982. Serial
correlation and the fixed effects model. Review of
Economic Studies 49: 533–549.
On Wed, Aug 11, 2010 at 3:23 AM, DE SOUZA Eric
<[email protected]> wrote:
> -findit xtserial-
>
> xtserial is a user written routine
>
>
> Eric de Souza
> College of Europe
> BE-8000 Brugge (Bruges)
> Belgium
>
> -----Original Message-----
> From: [email protected] [mailto:[email protected]] On Behalf Of Hobst
> Sent: 11 August 2010 09:29
> To: [email protected]
> Subject: st: AR(1) Test in panel data
>
> Can i somehow test my panel data for AR(1)? i have seen the xtregar, but would first like to test if i really need it. and is there something similar to the durbin-watson test for paneldata?
>
> Thank you
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