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Durbin Watson and Panel data

  • 29-08-2013 9:37pm
    #1
    mickyboy
    Registered Users, Registered Users 2 Posts: 39 ✭


    Hi boards.

    I keep getting low DW stats for my panel data regressions. When I fix it using AR(1), Cochrane Orcutt, first differencing etc my coefficients become insignificant while DW approaches 2.

    Just wondering if I should really be worried about DW in panel data.

    Thanks


Comments

  • #2
    Ostrom
    Registered Users, Registered Users 2 Posts: 3,483 ✭✭✭Ostrom


    Absolutely - autocorrelation can inflate standard errors, bias parameter estimates, and lead to erroneous inference. Did you try using alternative specifications? Autoregressive error models are one route, but using alternative lag combinations can soak up the serial correlation, and give you a little more information on the long-term effects.


  • #3
    andrew
    Moderators, Science, Health & Environment Moderators, Society & Culture Moderators Posts: 3,372 Mod ✭✭✭✭andrew


    Moved to the 'researcher' forum, since the marginal return on an extra day in the Economics forum was likely very low at this stage


  • #4
    freeze4real
    Registered Users, Registered Users 2 Posts: 2,540 ✭✭✭freeze4real


    andrew wrote: »
    Moved to the 'researcher' forum, since the marginal return on an extra day in the Economics forum was likely very low at this stage

    Haha I see what you did there.

    I like it.


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