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


From   Valerie Orozco <Valerie.Orozco@toulouse.inra.fr>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE : st:How to test autocorrelation in the disturbance in a systemof equations?
Date   Wed, 2 Jul 2008 15:16:10 +0200

Thank you Nick and thank you Robert,
I know that I can treat each equation separately (saving the residual and testing all equations independently) but since the system I am estimating is a simultaneous one with some correlations between equations, such test (equation by equation independently) is incorrect. For example, one residi of one equation coul be correlated to a lagged residj with j different from i.
I was wondering if a joint test (of all the system) for autocorrelation in the full system exists...

thank you

valérie

________________________________________
De : Valerie Orozco
Date d'envoi : mardi 1 juillet 2008 17:06
À : statalist@hsphsun2.harvard.edu
Objet : How to test autocorrelation in the disturbance in a system of equations?

Dear all,

I posted my question some days ago but have no answer. I try to explain it in a better way.
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)

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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