Dear statalist,

I am running GMM regressions with robust HAC matrix and standard errors and I would like to obtain the Durbin-Watson stat as in other software. Anyway, none of the versions I write of the command seems to deliver the stat.

Here is what I am running:

gmm (effr-((1-{b1})*({b2}+F12.inflation*{b3}+F3.gap*{b4})+lageff r*{b1})) in 1/189, instruments(L(1/6).coreinf L9.coreinf L12.coreinf L(1/6).gap L9.gap L12.gap L(1/6).bondyield L9.bondyield L12.bondyield) wmatrix(hac bartlett opt) variables(inflation gap lageffr) vce(hac bartlett 3)

Should I ignore DW statistic since I'm using HAC matrix and standard errors in the regression? Does anyone know how to obtain this stat in GMM as in other software?

Thank you in advance