Re: [Gretl-users] DW test
If you check you will find that Gretl does not include a D-W statistic
in its output for fixed effects panel. The DW statistic is a test
for first order serial correlation. The standard DW statistic is for
a single time series regression. You could possibly design a
corresponding statistic for panel data but it would not be a DW
statistic and it would have a different distribution. If you are
interested in serial correlation and its effects on the variance
covariance matrix you might read the appropriate sections in Cameron
an Trivedi (2005), Microeconometrics, Methods and Applications,
Cambridge.
Best Regards
John
2008/11/27 Mariusz Doszyń <madosz(a)wp.pl>:
Hello...
While estimating panel model with fixed effects with two explanatory
variables for 11 units, number of independent variables in Durbin-Watson
test equals 2 or 13? It's sensible to use this test in case of that kind of
models?
Best wishes...
Mariusz
Poland
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John C Frain
Trinity College Dublin
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