*! lmadw V1.0 20oct2011 *! Emad Abd Elmessih Shehata *! Assistant Professor *! Agricultural Research Center - Agricultural Economics Research Institute - Egypt *! Email: emadstat@hotmail.com *! WebPage: http://emadstat.110mb.com/stata.htm program define lmadw , rclass version 10.1 syntax varlist [if] [in] [aw fw iw pw] , [LAGs(int 1) noCONStant vce(passthru) level(passthru)] marksample touse tempvar `varlist' gettoken yvar xvar : varlist if "`weight'" != "" { local wgt "[`weight'`exp']" if "`weight'" == "pweight" { local awgt "[aw`exp']" } else local awgt "`wgt'" } tempvar E time SRho gen `time'=_n qui tsset `time' regress `yvar' `xvar' if `touse' `wgt' , `constant' `vce' `level' scalar N=e(N) scalar SSEo=e(rss) scalar Kx=e(df_m)+1 qui predict `E' if `touse' , resid qui forval i=1/`lags' { tempvar E`i' LEE`i' DW qui gen `LEE`i''=L`i'.`E'*`E' if `touse' qui summ `LEE`i'' if `touse' scalar SSE`i'=r(sum) scalar Rho`i'=SSE`i'/SSEo qui gen `DW'`i'=sum((`E'-`E'[_n-`i'])^2)/sum(`E'*`E') if `touse' local dw`i' `DW'`i'[N] return scalar rho_`i'=Rho`i' return scalar dw_`i'=`dw`i'' } di as txt "{bf:{err:================================================}}" di as txt "{bf:{err:* Durbin-Watson Autocorrelation Test *}}" di as txt "{bf:{err:================================================}}" di as txt "{bf: Ho: No Autocorrelation - Ha: Autocorrelation}" di di _dup(75) "-" if "`lags'"!="" { forval i=1/`lags' { di as txt "* Rho Value for" _col(30) "AR(" `i' ") = " %9.4f Rho`i' di as txt "* Durbin-Watson Test" _col(30) "AR(" `i' ") = " %9.4f `dw`i'' _col(50) "df: (" Kx " , " N ") di _dup(75) "-" } } end