Durbin-Watson Critical*Values

[Michael Dean]

Hello,
I was wondering if there is a command or a package in STATA which computes the DW critical values in large samples? (for example: n=10000, k=40).

Thank you!

[Alfonso Sánchez-Peñalver]

Hi Michael, I refer you to help regress_postestimationts where you will find help on the estat dwatson command. Furthermore, in the manual, in the remarks and examples of the estat dwatson command, you find the following (my manual is for version 13, I have no idea if it's changed in versions 14):

Calculating the exact distribution of the d statistic is difficult, but empirical upper and lower bounds have been established based on the sample size and the number of regressors. Extended tables for the d statistic have been published by Savin and White (1977).

So I would not think that Stata (not STATA, please read http://www.statalist.org/forums/help#spelling) computes the critical values, since the statistic doesn't follow one of the standard distributions.

Reference:
Savin, N. E., and K. J. White. 1977. "The Durbin–Watson test for serial correlation with extreme sample sizes or many regressors". Econometrica 45: 1989–1996.