Durbin watson fixed effects stata download

How do i test for autocorrelation and heteroskedasticity. How do i test for autocorrelation and heteroskedasticity in stata from pooled mean group estimation. Testing for serial correlation in fixedeffects panel data. I tried using dwstat, bgtest and durbinh after xtreg, and after dummy variable estimation, however stata indicates that these comands might not work with panel data. Dolores university of york, uk original message from. Computing a durbinwatson test statistic in stata youtube.

After this, i applied some tests to verify problems of heteroskedasticity, autocorrelation such as. Outliers, durbinwatson and interactions for regression in. I want to test for autocorrelation and wanted to use the durbin watson. A very general guideline once you define the question and, hopefully, have a clear idea of what you want to know you can proceed to apply the statistical technique suitable for your data. What i have found so far is that there is no such test after using a fixed effects model. Langkah pertama yaitu menginput data dan estimasi model. Durbin watson d statistics from the stata command is 2. Breuschgodfrey lm test has an advantage over classical durbin watson d test. Can you help me with a problem analysing panel data.

The intuition, execution, and interpretation of the breuschgodfrey autocorrelation test in stata. Hausman test is used to specify whether fixed effect or random effect regression is appropriate. An interaction is the combined effect of two independent variables on one dependent variable. In order to study the relationship between investments in fixed assets and market performance, stata. Heteroskedasticity, autocorrelation problemfixed effect. How can i perform a durbin watson test, or another test controlling for serial corr after having done a fixed effect estimation. What to do with chosen panel data regression with low.