Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: How to test autocorrelation in the disturbance in a system ofequations?


From   Robert A Yaffee <[email protected]>
To   [email protected]
Subject   st: How to test autocorrelation in the disturbance in a system ofequations?
Date   Wed, 02 Jul 2008 09:46:12 -0400

Valerie,
  Have you considered saving your residuals and entering them into a VAR.  You could run the
var at the appropriate lag and then type:  varlmar, mlag(#)    
where mlag is the maximum lag,   This is a laGrange Mutliplier test for the joint autocorrelation at
the lags up to mlag.
  - Regards,
         Bob Yaffee



Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University


----- Original Message -----
From: Valerie Orozco <[email protected]>
Date: Wednesday, July 2, 2008 9:16 am
Subject: RE : st:How to test autocorrelation in the disturbance in a system of equations?
To: "[email protected]" <[email protected]>


> 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
> 
> val�rie
> 
> ________________________________________
> De : Valerie Orozco
> Date d'envoi : mardi 1 juillet 2008 17:06
> � : [email protected]
> 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.
> 
> val�rie
> 
> -------------------------------
> Val�rie OROZCO
> Toulouse School of Economics (INRA-GREMAQ)
> 21, all�e 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/

*
*   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/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index