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RE: st: How to test autocorrelation in the disturbance in a system of equations?


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: How to test autocorrelation in the disturbance in a system of equations?
Date   Tue, 1 Jul 2008 19:02:58 +0100

Just to underline what should be obvious: -ac- and -pac- have no way of
knowing that these variables were originally residuals. Any adjustment
in test procedure that might entail is entirely up to you. 

Nick
n.j.cox@durham.ac.uk 

Robert A Yaffee

 If you are running reg3 and save your residuals from each equation,
calling them residi, where i=the equation number,
you should be able to very simply apply and acf to them, with the
command:
   ac  residi
and
pac reside

Valerie Orozco

> I'm estimating a system of equations (by 3SLS with "reg3") (20
equations)
> I'm wondering if a joint test for autocorrelation in the disturbance 
> exists in such simultaneous model.
> 
> I know the durbin Watson test, breush godfrey test, and ljung box 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 for 
> each of all the equation). But I would like to know if there exists a 
> way to test the autocorrelation globally (i.e a joint test)
> (even if I have to program it)

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