Hello i ve got following questions..


1. Is there a test for autocorrelation that fits with pooled ols and fixed effect model? Concrete, I’ve got the following two regressions:


reg TobinsQ SumHoldingsPct DebtTotalAssets RD Marketcap Dividend SalesGrowth QuickRatio ResidualsSumHoldingsPct i.year i.industry i.country, robust cluster(industry)

xtreg TobinsQ SumHoldingsPct DebtTotalAssets RD Marketcap Dividend SalesGrowth QuickRatio ResidualsSumHoldingsPct i.year i.industry i.country, robust fe




Using the Durbin Watson dwstat i get the following error massage.

"sample may not include multiple panels"




2. I also want to use a one timeperiod lagged dependent variable as additional dependent variable to reduce the autocorrelation.

Can this lead to wrong results and are there further things to check when using time lagged variables? or is my model suitable?

reg TobinsQ laggedtobinsq SumHoldingsPct DebtTotalAssets RD Marketcap Dividend SalesGrowth QuickRatio ResidualsSumHoldingsPct i.year i.industry i.country, robust cluster(industry)

xtreg TobinsQ laggedtobinsq SumHoldingsPct DebtTotalAssets RD Marketcap Dividend SalesGrowth QuickRatio ResidualsSumHoldingsPct i.year i.industry i.country, robust fe