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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) * * 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/

**References**:**st: How to test autocorrelation in the disturbance in a system ofequations?***From:*Valerie Orozco <Valerie.Orozco@toulouse.inra.fr>

**Re: st: How to test autocorrelation in the disturbance in asystem of equations?***From:*Robert A Yaffee <bob.yaffee@nyu.edu>

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