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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 > ------------------------------- > > * > * 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/

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

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