dwstat errors

[Den Ro]

Hello together,

first to say, i am not a stata expert. I have a panel data set and did fixed effect regressions. Now i have to test for autocorrelation with durbin watson test.

I tried two ways with either way ending in error:
tsset companycode Yearcode

Panel variable: companycode (unbalanced)
Time variable: Yearcode, 1 to 10
Delta: 1 year

dwstat
sample may not include multiple panels
r(459);

tsset Yearcode
repeated time values in sample
r(451);

The dataset: Every Company has a year but some companys have only data for e.g 7 to 10.

What can i do with my dataset to run the test?

[Carlo Lazzaro]

Den:
welcome to this forum.
Have yiou already taken a look at the community-contributed module -xttest2- and -xtserial-?
As an aside, the way panel dataset was -tsset- in your last code is not correct, as -panelid- should always be plugged in as the first term, followed by -tempvar-.
If, when both terms have been plugged in after -tsset- (or -xtset-) Stata throws -repeated time values in sample- error message, you can simply -xtset- your panel dataset via -panelid- only.
However, this fix comes at the cost of making time-series related operators, such as lags and leads, unfeasible.

[Den Ro]

Hi Carlo,
thank you for your fast answer. I didnt look up the community-contributed modules, what are the benefits?
I just realized i did a typo (I wrote tsset Year but did tsset Yearcode)

I don't know if i get you. I tried to figure out what you said but i couldnt make it working:

. xtset companycode Year

Panel variable: companycode (unbalanced)
Time variable: Year, 2010 to 2019
Delta: 1 unit

. dwstat
sample may not include multiple panels
r(459);

. tsset Yearcode
repeated time values in sample
r(451);

. tsset companycode Yearcode

Panel variable: companycode (unbalanced)
Time variable: Yearcode, 1 to 10, but with gaps
Delta: 1 unit

. dwstat
sample may not include multiple panels
r(459);

. xtset companycode

Panel variable: companycode (unbalanced)

. dwstat
time variable not set, use tsset varname ...
r(111);

I am new to Statistical software, sorry for maybe not getting the basics.

[Carlo Lazzaro]

Den:
1) the advantage of using community-contributed modules is that they are tailored for situations that are not covered in details by Stata built-in commands;
2) -dwstat- cannot work with your data;
3) -tsset Yearcode- is wrong either.

Take a look at -xt- suite of commands in Stata .pdf manual and related references.