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Re: st: RE: Running simple autocorrelation regressions using -forval-


From   Richard Williams <Richard.A.Williams.5@ND.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>, "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: RE: Running simple autocorrelation regressions using -forval-
Date   Tue, 09 Dec 2008 04:19:51 -0500

At 03:35 AM 12/9/2008, Martin Weiss wrote:
Line for the server...

What is that -fitted- option to -whitetst-?  I have

. which whitetst
c:\ado\plus\w\whitetst.ado
*! whitetst 1.2.0 CFB/NJC 11 Oct 1999 rev for _rmcoll  (STB-55: sg137)

and Stata says it does not know this option.

You have an old version:

. which whitetst
c:\ado\plus\w\whitetst.ado
*! whitetst 1.2.3 CFB/NJC 17 Feb 2002 add fitted option for special form of test

According to the help,

"Alternatively, a special form of the test, described by Wooldridge (2000, pp. 259-260), may be employed by specifying the fitted option. In this form, the predicted values from the original regression and their squares are used in place of the individual regressors, their squares, and their cross-products. This form of the test imposes constraints on the auxiliary regression, but may be a very attractive alternative if the original regressor list is lengthy."



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Richard Williams, Notre Dame Dept of Sociology
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