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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 ------------------------------- * * 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/

**Follow-Ups**:**st: How to test autocorrelation in the disturbance in a system ofequations?***From:*Robert A Yaffee <bob.yaffee@nyu.edu>

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