个人认为无需报告 DW 值。
如果想要报告,可以采用 xtregar 命令,会自动报告该统计量,其临界值可在下文中查到:
Bhargava, A., L. Franzini, W. Narendranathan, 1982, Serial correlation and the fixed effects model, The Review of Economic Studies, 49 (4): 533-549.
手动计算方法如下:
. qui xtreg market invest stock dumt*, fe // FE estimation
. predict e, e // e_it
. qui gen de = D.e // D.e_it
. egen sum_e_sq = sum(eˆ2) // DW_p 分母
. egen sum_de_sq = sum(deˆ2) // DW_p 分子
. gen dw = sum_de_sq/sum_e_sq // DW_p
. dis "D-W = " dw[1]
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