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


From   Valerie Orozco <Valerie.Orozco@toulouse.inra.fr>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
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.

valérie

-------------------------------
Valérie OROZCO
Toulouse School of Economics (INRA-GREMAQ)
21, allée de Brienne
F-31000 Toulouse, France
-------------------------------

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