help: lmadwxt dialog:

Title

lmadwxt: Panel Data Autocorrelation Durbin-Watson Test

Table of Contents

Syntax

Description

Options

Saved Results

References

*** Examples

Authors

Syntax

lmadwxt depvar indepvars [if] [in] [weight] , id(var) it(var) [ noconstant coll ]

Description

lmadwxt computes Panel Data Autocorrelation Durbin-Watson Test.

* Ho: No AR(1) Panel AutoCorrelation - Ha: AR(1) Panel AutoCorrelation
- Durbin-Watson Panel Test

{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) *
**************************************************************

R2, R2 Adjusted, and F-Test, are obtained from 4 ways:

1- (Buse 1973) R2.

2- Raw Moments R2.

3- squared correlation between predicted (Yh) and observed dependent variable (Y).

4- Ratio of variance between predicted (Yh) and observed dependent variable (Y).

- Adjusted R2: R2_a=1-(1-R2)*(N-1)/(N-K-1).

- F-Test=R2/(1-R2)*(N-K-1)/(K).

Options

* id(var) Cross Sections ID variable name
* it(var) Time Series ID variable name

coll keep collinear variables; default is removing collinear variables.

noconstant Exclude Constant Term from Equation

Saved Results

lmadwxt saves the following results in e():

e(rho) Panel Rho Value
e(lmadw) Durbin-Watson Panel Test

References

Damodar Gujarati (1995)
"Basic Econometrics"
3rd Edition, McGraw Hill, New York, USA.

Judge, Georege, R. Carter Hill, William . E. Griffiths, Helmut Lutkepohl, & Tsoung-Chao Lee (1988)
"Introduction To The Theory And Practice Of Econometrics",
2nd ed., John Wiley & Sons, Inc., New York, USA.

Examples

clear all

sysuse lmadwxt.dta, clear

db lmadwxt

lmadwxt y x1 x2 , id(id) it(t)

clear all
. sysuse lmadwxt.dta, clear
. lmadwxt y x1 x2 , id(id) it(t)

==============================================================================
* Ordinary Least Squares (OLS) Regression
==============================================================================
y = x1 + x2
------------------------------------------------------------------------------
Sample Size = 49 | Cross Sections Number = 7
Wald Test = 58.0055 | P-Value > Chi2(2) = 0.0000
F-Test = 29.0028 | P-Value > F(2 , 47) = 0.0000
(Buse 1973) R2 = 0.5524 | Raw Moments R2 = 0.9186
(Buse 1973) R2 Adj = 0.5429 | Raw Moments R2 Adj = 0.9169
Root MSE (Sigma) = 11.3127 | Log Likelihood Function = -187.3772
------------------------------------------------------------------------------
- R2h= 0.5524 R2h Adj= 0.5429 F-Test = 28.39 P-Value > F(2 , 47) 0.0000
- R2v= 0.5524 R2v Adj= 0.5429 F-Test = 28.39 P-Value > F(2 , 47) 0.0000
------------------------------------------------------------------------------
y | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x1 | -.2739317 .1020949 -2.68 0.010 -.4793201 -.0685434
x2 | -1.597311 .3305569 -4.83 0.000 -2.262305 -.932316
_cons | 68.61898 4.684835 14.65 0.000 59.1943 78.04365
------------------------------------------------------------------------------

==============================================================================
*** Panel Data Autocorrelation Durbin-Watson Test
==============================================================================
Ho: No AR(1) Panel AutoCorrelation - Ha: AR(1) Panel AutoCorrelation

- Panel Rho Value = 0.4233
- Durbin-Watson Test = 1.0458 df: (3 , 49)
------------------------------------------------------------------------------

Authors

- Emad Abd Elmessih Shehata
Professor (PhD Economics)
Agricultural Research Center - Agricultural Economics Research Institute - Egypt
Email: emadstat@hotmail.com
WebPage at IDEAS: http://ideas.repec.org/f/psh494.html
WebPage at EconPapers: http://econpapers.repec.org/RAS/psh494.htm

- Sahra Khaleel A. Mickaiel
Professor (PhD Economics)
Cairo University - Faculty of Agriculture - Department of Economics - Egypt
Email: sahra_atta@hotmail.com
WebPage at IDEAS: http://ideas.repec.org/f/pmi520.html
WebPage at EconPapers: http://econpapers.repec.org/RAS/pmi520.htm

LMADWXT Citation

Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2015)

LMADWXT: "Stata Module to Compute Panel Data Autocorrelation Durbin-Watson Test"

Online Help:

* Autocorrelation Tests:

* (1) (OLS) * Ordinary Least Squares Tests:
lmareg OLS Autocorrelation Tests
lmabp OLS Autocorrelation Box-Pierce Test
lmabg OLS Autocorrelation Breusch-Godfrey Test
lmabpg OLS Autocorrelation Breusch-Pagan-Godfrey Test
lmadurh OLS Autocorrelation Dynamic Durbin h, Harvey LM, Wald Tests
lmadurm OLS Autocorrelation Dynamic Durbin m Test
lmadw OLS Autocorrelation Durbin-Watson Test
lmalb OLS Autocorrelation Ljung-Box Test
lmavon OLS Autocorrelation Von Neumann Ratio Test
lmaz OLS Autocorrelation Z Test
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* (2) (NLS) * Non Linear Least Squares Tests:
lmanls Non Linear Least Squares Autocorrelation Tests
lmabpnl NLS Autocorrelation Box-Pierce Test
lmabgnl NLS Autocorrelation Breusch-Godfrey Test
lmabpgnl NLS Autocorrelation Breusch-Pagan-Godfrey Test
lmadurmnl NLS Autocorrelation Dynamic Durbin m Test
lmadwnl NLS Autocorrelation Durbin-Watson Test
lmalbnl NLS Autocorrelation Ljung-Box Test
lmavonnl NLS Autocorrelation Von Neumann Ratio Test
lmaznl NLS Autocorrelation Z Test
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* (3) (MLE) * Maximum Likelihood Estimation Tests:
lmamle MLE Autocorrelation Tests
lmabpml MLE Autocorrelation Box-Pierce Test
lmabgml MLE Autocorrelation Breusch-Godfrey Test
lmabpgml MLE Autocorrelation Breusch-Pagan-Godfrey Test
lmadurhml MLE Autocorrelation Dynamic Durbin h, Harvey LM, Wald Tests
lmadurmml MLE Autocorrelation Dynamic Durbin m Test
lmadwml MLE Autocorrelation Durbin-Watson Test
lmalbml MLE Autocorrelation Ljung-Box Test
lmavonml MLE Autocorrelation Von Neumann Ratio Test
lmazml MLE Autocorrelation Z Test
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* (4) (2SLS-IV) * Two-Stage Least Squares & Instrumental Variables Tests:
lmareg2 2SLS-IV Autocorrelation Tests
lmabg2 2SLS-IV Autocorrelation Breusch-Godfrey Test
lmabp2 2SLS-IV Autocorrelation Box-Pierce Test
lmabpg2 2SLS-IV Autocorrelation Breusch-Pagan-Godfrey Test
lmadurh2 2SLS-IV Autocorrelation Dynamic Durbin h, Harvey LM, Wald Tests
lmadurm2 2SLS-IV Autocorrelation Dynamic Durbin m Test
lmadw2 2SLS-IV Autocorrelation Durbin-Watson Test
lmalb2 2SLS-IV Autocorrelation Ljung-Box Test
lmavon2 2SLS-IV Von Neumann Ratio Autocorrelation Test
lmaz2 2SLS-IV Autocorrelation Z Test
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* (5) Panel Data Tests:
lmaxt Panel Data Autocorrelation Tests
lmabxt Panel Data Autocorrelation Baltagi Test
lmabgxt Panel Data Autocorrelation Breusch-Godfrey Test
lmabpxt Panel Data Autocorrelation Box-Pierce Test
lmabpgxt Panel Data Autocorrelation Breusch-Pagan-Godfrey Test
lmadurhxt Panel Data Autocorrelation Dynamic Durbin h and Harvey LM Tests
lmadurmxt Panel Data Autocorrelation Dynamic Durbin m Test
lmadwxt Panel Data Autocorrelation Durbin-Watson Test
lmavonxt Panel Data Von Neumann Ratio Autocorrelation Test
lmawxt Panel Data Autocorrelation Wooldridge Test
lmazxt Panel Data Autocorrelation Z Test
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* (6) (3SLS-SUR) * Simultaneous Equations Tests:
lmareg3 (3SLS-SUR) Overall System Autocorrelation Tests
lmhreg3 (3SLS-SUR) Overall System Heteroscedasticity Tests
lmnreg3 (3SLS-SUR) Overall System Non Normality Tests
lmcovreg3 (3SLS-SUR) Breusch-Pagan Diagonal Covariance Matrix
r2reg3 (3SLS-SUR) Overall System R2, F-Test, and Chi2-Test
diagreg3 (3SLS-SUR) Overall System ModeL Selection Diagnostic Criteria
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* (7) (SEM-FIML) * Structural Equation Modeling Tests:
lmasem (SEM-FIML) Overall System Autocorrelation Tests
lmhsem (SEM-FIML) Overall System Heteroscedasticity Tests
lmnsem (SEM-FIML) Overall System Non Normality Tests
lmcovsem (SEM-FIML) Breusch-Pagan Diagonal Covariance Matrix Test
r2sem (SEM-FIML) Overall System R2, F-Test, and Chi2-Test
diagsem (SEM-FIML) Overall System ModeL Selection Diagnostic Criteria
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* (8) (NL-SUR) * Non Linear Seemingly Unrelated Regression Tests:
lmanlsur (NL-SUR) Overall System Autocorrelation Tests
lmhnlsur (NL-SUR) Overall System Heteroscedasticity Tests
lmnnlsur (NL-SUR) Overall System Non Normality Tests
lmcovnlsur (NL-SUR) Breusch-Pagan Diagonal Covariance Matrix Test
r2nlsur (NL-SUR) Overall System R2, F-Test, and Chi2-Test
diagnlsur (NL-SUR) Overall System ModeL Selection Diagnostic Criteria
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* (9) (VAR) * Vector Autoregressive Model Tests:
lmavar (VAR) Overall System Autocorrelation Tests
lmhvar (VAR) Overall System Heteroscedasticity Tests
lmnvar (VAR) Overall System Non Normality Tests
lmcovvar (VAR) Breusch-Pagan Diagonal Covariance Matrix Test
r2var (VAR) Overall System R2, F-Test, and Chi2-Test
diagvar (VAR) Overall System ModeL Selection Diagnostic Criteria
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