-------------------------------------------------------------------------------
help: lmadw                                                        dialog: lmad
> w
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        +-------+
    ----+ Title +------------------------------------------------------------

 lmadw: Durbin-Watson Autocorrelation Test at Higher Order AR(p)


        +--------+
    ----+ Syntax +-----------------------------------------------------------

        lmadw depvar indepvars [if] [in] [weight] , [ lags(numlist)
                noconstant vce(vcetype) ]
 

        +---------+
    ----+ Options +----------------------------------------------------------

      lags(#)             determine Order of Lag Length; default is lag(1).

      noconstant          suppress constant term

    SE/Robust
      vce(vcetype)        vcetype may be ols, robust, cluster clustvar,
                            bootstrap, jackknife, hc2, or hc3


        +-------------+
    ----+ Description +------------------------------------------------------

  lmadw computes Durbin-Watson Autocorrelation Test after regress command.
 
  lmadw detects autocorrelation at Higher Order AR(p), more than AR(1).


   {cmd: DW(i): Durbin-Watson Test = sum((E-`E'[n-i])^2)/sum(E^)


     **************************************************************
     ***** Positive Auto ***** (DW Test) **** Negative Auto *******
     *       DW >  Du   (No+)      *          DW *  4-Du   (No-)  *
     *  0  < DW <  DL   (  +)      *  4-DL <  DW <  4      (  -)  *
     *  DL * DW *  Du   (Inc)      *  4-Du <= DW *  4-DL   (Inc)  *
     **************************************************************


        +---------------+
    ----+ Saved Results +----------------------------------------------------

    lmadurh saves the following in r():

    Scalars
      r(rho_#)    Rho Value at Order AR(i)
      r(dw_#)     Durbin-Watson Test at Order AR(i)


        +----------+
    ----+ Examples +---------------------------------------------------------

        clear all

        db lmadw

        sysuse lmadw.dta , clear

        lmadw y x1 x2 , lags(1)

        lmadw y x1 x2 , lags(4)

        return list


   ================================================
   * Durbin-Watson Autocorrelation Test           *
   ================================================
    Ho: No Autocorrelation - Ha: Autocorrelation

   ---------------------------------------------------------------------------
   * Rho Value for              AR(1) =   -0.1455
   * Durbin-Watson Test         AR(1) =    2.0185   df: (3 , 17)
   ---------------------------------------------------------------------------
   * Rho Value for              AR(2) =   -0.2231
   * Durbin-Watson Test         AR(2) =    2.0359   df: (3 , 17)
   ---------------------------------------------------------------------------
   * Rho Value for              AR(3) =    0.1871
   * Durbin-Watson Test         AR(3) =    1.1956   df: (3 , 17)
   ---------------------------------------------------------------------------
   * Rho Value for              AR(4) =   -0.3002
   * Durbin-Watson Test         AR(4) =    2.0133   df: (3 , 17)
   ---------------------------------------------------------------------------


        +------------+
    ----+ References +-------------------------------------------------------

    Durbin, James & Watson G (1950) "Testing for Serial Correlation in Least
        Square Regression", Biometrika, vol.37; 409-428.

    Durbin, James & Watson G (1951) "Testing for Serial Correlation in Least
        Square Regression", Biometrika, Vol. 38; 159-178.

    Maddala, G. (1992) "Introduction to Econometrics", 2nd ed., Macmillan
        Publishing Company, New York, USA; 245.


        +--------+
    ----+ Author +-----------------------------------------------------------

  Emad Abd Elmessih Shehata
  Assistant Professor
  Agricultural Research Center - Agricultural Economics Research Institute - Eg
> ypt
  Email:   emadstat@hotmail.com
  WebPage:                http://emadstat.110mb.com/stata.htm
  WebPage at IDEAS:       http://ideas.repec.org/f/psh494.html
  WebPage at EconPapers:  http://econpapers.repec.org/RAS/psh494.htm


        +----------------+
    ----+ lmadw Citation +---------------------------------------------------

    Shehata, Emad Abd Elmessih (2011)
    "lmadw: Stata Module to Compute Durbin-Watson Autocorrelation Test at
        Higher Order AR(p) after OLS Regression"

 
Also see

    Online: lmareg3, lmadurh, lmalb, lmabp, lmadw, lmavon (if installed).