Durbin-Watson test

[Anna Papadopoulos]

Dear all,

I have time series and panel data for which I conduct an event study. In order to check for autocorrelation prior to my analysis, I need to do a Durbin-Watson test. However, I keep getting the error "time variable not set, use tsset varname..."
I applied the following code:

tsset Gvkey Date_

whereby Gvkey is the identifier for my panel data and the Date_ the time series identifier.

Could you maybe tell me what I did wrong?

Best

Anna

[Andrew Musau]

As you have panel data, you cannot test for serial correlation using the Durbin-Watson test. See https://www.stata.com/support/faqs/s...tocorrelation/

search xtserial

[Anna Papadopoulos]

Dear Andrew,

Thank you for your fast reply. I tried the following code as suggested by you:

xtserial cumul_abn_ret dif

where cumul_abn_ret is my dependent variable and dif my independent one (time series).
Nevertheless, I receive the error message "command xtserial is unrecognized". Is there any alternative that I can use? PS: I use STATA version 18.0.

Kind regards

Anna

[Carlo Lazzaro]

Anna:
as Andrew's helpul reply implies, -xtserial- is not a built-in Stata command, but a community-contributed module.
Therefore, you should type -search xtserial- from within Stata and follow the instructions to install it.