DW stat for Panel Data
Posted: Thu Jan 22, 2015 2:12 am
Dear all,
I was just wondering if the Durbin Watson Statistic is a reliable indicator of the presence of autocorrelation in my fixed effects model with GLS cross-section weights and clustered robust-standard errors.
It is at 1.56 with an R squared of 0.38
When I add in an AR(1) term to my common coefficients, the DW stat rises to 1.82 and the R squared rises to 0.42. However the line graphs of my residuals do not change.
Would really appreciate some help. :D
Thanks
Rhea
I was just wondering if the Durbin Watson Statistic is a reliable indicator of the presence of autocorrelation in my fixed effects model with GLS cross-section weights and clustered robust-standard errors.
It is at 1.56 with an R squared of 0.38
When I add in an AR(1) term to my common coefficients, the DW stat rises to 1.82 and the R squared rises to 0.42. However the line graphs of my residuals do not change.
Would really appreciate some help. :D
Thanks
Rhea