3SLS with low durban watson- how can that be?

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svogel
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Joined: Wed May 02, 2012 9:13 am

3SLS with low durban watson- how can that be?

Postby svogel » Wed May 02, 2012 9:16 am

Our model uses a three-stage least squares but our durbin watson statistic still indicates a fair deal of autocorrelation is present Why is this the case? Are our estimators still BLUE?
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startz
Non-normality and collinearity are NOT problems!
Posts: 3798
Joined: Wed Sep 17, 2008 2:25 pm

Re: 3SLS with low durban watson- how can that be?

Postby startz » Wed May 02, 2012 9:42 am

The Durbin-Watson tests for serial correlation. This has nothing in particular to do with 3SLS. The estimators are not BLUE. (3SLS is technically never BLUE, but can be approximately so in a large sample.)
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