help: lmadw dialog:

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 - Egypt
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).