Friday, February 17, 2006

st: Using dwstat after regress and dfuller

Can someone explain why dwstat returns different values (in Stata 8.0) after the dfuller and regress commands for what are the equivalent regressions?

The results are shown below and you can see that the d value is 1.996121 after dfuller and is 1.314681 after regress.

I know the d statistic is not appropriate for an autogregressive model but surely the computed value should be the same.

Thanks

. dfuller gdp, trend regress

Dickey-Fuller test for unit root Number of obs = 87

---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ---------------------------------------------------------------------------- -- Z(t) -1.625 -4.069 -3.463 -3.158 ---------------------------------------------------------------------------- -- * MacKinnon approximate p-value for Z(t) = 0.7815 ---------------------------------------------------------------------------- -- D.gdp | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+-------------------------------------------------------------- -- gdp | L1 | -.0603169 .0371113 -1.63 0.108 -.1341169 .013483 _trend | 1.477641 .9172438 1.61 0.111 -.346399 3.301681 _cons | 190.3836 103.5257 1.84 0.069 -15.48857 396.2559 ---------------------------------------------------------------------------- -- . dwstat Durbin-Watson d-statistic( 3, 87) = 1.996121

. regress D.gdp L.gdp n Source | SS df MS Number of obs = 87 -------------+------------------------------ F( 2, 84) = 1.32 Model | 3388.93239 2 1694.4662 Prob > F = 0.2721 Residual | 107661.688 84 1281.68677 R-squared = 0.0305 -------------+------------------------------ Adj R-squared = 0.0074 Total | 111050.621 86 1291.28629 Root MSE = 35.801 ---------------------------------------------------------------------------- -- D.gdp | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+-------------------------------------------------------------- -- gdp | L1 | -.0603169 .0371113 -1.63 0.108 -.1341169 .013483 n | 1.477641 .9172438 1.61 0.111 -.346399 3.301681 _cons | 190.3836 103.5257 1.84 0.069 -15.48857 396.2559 ---------------------------------------------------------------------------- -- . dwstat Durbin-Watson d-statistic( 3, 87) = 1.314681

* * 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/


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