Hi, I am running a regression with multiple lagged variables of the dependent variable
, can one use the Durbin Watson d-statistic, (
) to check whether serial correlation has been removed from my initial model
?

I am concerned that the Durbin Watson d-statistic can only be used wen there is one lag of the dependent variable from what I have understood online, but I am not sure, could someone clarify this to me please.

It is also confusing because when running the Durbin Watson d-statistic on Stata I get a closer value to 2 (about 2.005) when running the test on only 2 lags of the dependent variable, whereas when running the test on 8 lags the Durbin Watson d-statistic is around 1.95.

Is this because the Durbin Watson d-statistic cannot be used to regressions that use more than one lag of the dependent variable on the RHS of the regression?

Thank you.

Code:

reg CSAD RtnMrktPort AbsRtnMrktPort SquRtnMrktPort CSAD_L1 CSAD_L2 CSAD_L3 CSAD_L4 CSAD_L5 CSAD_L6 CSAD_L7 CSAD_L8

Code:

estat dwatson

Code:

reg CSAD RtnMrktPort AbsRtnMrktPort SquRtnMrktPort

I am concerned that the Durbin Watson d-statistic can only be used wen there is one lag of the dependent variable from what I have understood online, but I am not sure, could someone clarify this to me please.

It is also confusing because when running the Durbin Watson d-statistic on Stata I get a closer value to 2 (about 2.005) when running the test on only 2 lags of the dependent variable, whereas when running the test on 8 lags the Durbin Watson d-statistic is around 1.95.

Is this because the Durbin Watson d-statistic cannot be used to regressions that use more than one lag of the dependent variable on the RHS of the regression?

Thank you.

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