Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Testing for autocorrelation in the disturbance in a system ofequations


From   Valerie Orozco <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: Testing for autocorrelation in the disturbance in a system ofequations
Date   Mon, 9 Jun 2008 14:54:17 +0200

Dear all,

I'm estimating a system of equations (by 3SLS with "reg3") (20 equations)
I'm wondering if a "global" test for autocorrelation in the disturbance exists in such simultaneous model.

I know the durbin Watson test and breush godfrey test to test the correlation in the disturbance of one equation (after "regress").
Thus, in my system of equations,  I am able to test each equation separately (programming the durbin Watson or ljung box formula) but I would like to know if it exists a better way to test the autocorrelation globally.
(even if I have to program it)
If you have any idea...

Thank you very much.

val�rie

-------------------------------
Val�rie OROZCO
Toulouse School of Economics (INRA-GREMAQ)
21, all�e de Brienne
F-31000 Toulouse, France
-------------------------------

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index