[求助]有关面板数据的一个问题

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<P>请问，D。W。检验量在面板数据中有没有用处？</P>
<P>D。W检验量可以检验单纯的时间序列的自相关，或单纯的截面数据的自相关性，但面板数据是二维矩阵，能不能使用D。W检验量？</P>

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关键词：面板数据 时间序列 截面数据 自相关性 自相关 相关性

Sth. found on the web

Welcome to the Statalist, Justin. No worries: I'm a simple man who likes simple questions! The -dwstat- command is what you're looking for, I think: . reg y x1 x2 . dwstat However, for panel models like -xtreg- and the rest, Kit Baum's - -panelauto- includes a slightly different version, called -dwstat2-: type - -ssc install panelauto.

Yes,and no. dwstat2 will calculate the DW stat for a SINGLE timeseries' worth of residuals from, e.g., xtreg. It will NOT calculate a single DW stat from a panel data regression, for the simple reason that it makes no sense whatsoever to do so (even if the regression is run as pooled OLS). The D-W statistic, like any measure of AR(1) in time series, is looking for the first-order autocorrelation coefficient. If you use pooled OLS, it will take the 1st obs on unit 2 to be one time period later than the last obs on unit 1, etc. For that reason the official Stata commands (cf. panelauto) will not run at all in a panel context. This is too harsh, perhaps, since if you know what you are doing (and estimate a DW separately for each TS in the panel) there is nothing wrong with that. One could compute an average of the DWs from the panel; that would be similar to one of the panel unit root tests, which averages Dickey-Fuller t statistics over the panel. But I do not know what the statistical properties of that average might be in terms of making an inference, which would presumably be that none of the TS in the panel have \rho differing from zero. Kit * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

可以的，对于2维的同样适用！

初学PANEL DATA ，希望大家多提供相关资料！

恩我也想知道

面板数据都还需要哪些检验？

我听到板上有人说DW检验对面板数据可能是无效的

是的，首先是协方差检验，其次hausman检验，剩下的根据具体情况而定

那协方差检验，主要是为了检验什么呢？

在eviews里面直接有吗？

协方差检验用来检验样本数据适用PANEL DATA模型（变系数、变截距、混合估计模型）中的哪一种。EVIEWS里面没有，通过构造F统计量来实现。详细的可以参考EVIEWS教程。

我也听说dw 检验对 panel　是没用的．　但是eviews还是提供了panel 的dw，既然提供了，就应该是有参考价值的吧？？！！

其实在stata中，不用dw检验panel 的自相关．

用的是 xtserial,　叫做 wooldridge　检验！！