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Re: st: Testing for serial correlation in small panel samples
From
christina sakali <[email protected]>
To
[email protected]
Subject
Re: st: Testing for serial correlation in small panel samples
Date
Thu, 8 Sep 2011 04:16:44 +0300
Thank you very much for the information and references, this is very helpful!
Can you also please clarify this bit of information:
Is the BFN Durbin Watson stat. an appropriate test for serial
correlation even if the error distribution is NOT normal? (since the
original DW stat. cannot be used in the case of non-normality).
On 7 September 2011 21:10, Scott Merryman <[email protected]> wrote:
> It is based on -xtreg,fe- The BFN Durbin Watson is also easy to calculate.
>
> Compare:
>
> webuse grunfeld,clear
> qui xtregar inv mva, fe lbi
> disp "modified Bhargava et al. Durbin-Watson = " e(d1)
>
> qui xtreg inve mval, fe
> predict double e,e
> gen double bfn = sum((e- l.e)^2)/sum(e^2)
> cl bfn in l, noobs
>
>
> The original BFN paper supplies upper and lower bounds for Durbin
> Watson statistic. For a large number of cross sections, if it less
> than 2 then it would indicate positive serial correlation.
>
> See:
>
> Bhargava, A., Franzini, and W. Narendranathan. 1982. "Serial
> correlation and fixed effects model." Review of
> Economic Studies 49, p. 533 - 549.
>
> and
>
> http://books.google.com/books?id=uEFm6pAJZhoC&lpg=PP1&pg=PA374#v=onepage&q&f=false
>
>
> Scott
>
> On Wed, Sep 7, 2011 at 12:09 PM, christina sakali
> <[email protected]> wrote:
>> Dear Scott,
>>
>> thanks a lot for the suggestion.
>>
>> I have a question though: Does the Bhargava et al's DW stat., reported
>> by the -lbi- option, refer to the original xtreg regression or the
>> xtregar one, which is corrected for first-order serial correlation?
>>
>> I guess what I need to know is: can I use the Bhargava stat. from the
>> -lbi- option as an indication of serial correlation in my original
>> xtreg regression or is this irrelevant?
>>
>
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