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


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
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 <Valerie.Orozco@toulouse.inra.fr>
Date: Wednesday, July 2, 2008 9:16 am
Subject: RE : st:How to test autocorrelation in the disturbance in a system of equations?
To: "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>


> 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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