[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: re: tsset with non-integers

From   Kit Baum <>
Subject   st: re: tsset with non-integers
Date   Thu, 7 May 2009 09:32:37 -0400

Frank said

What I would like to do, which I cannot find exactly in the archives,
is to check the independence of the residual terms (e) from a
regression. I would like to run the -durbinh- command...

Nick Cox answered the technical question re -tsset-. I do not recommend you rely on the -durbinh- command. It is a special case of the Breusch-Godfrey test in which you only consider AR(1) vs i.i.d. The -estat bgodfrey- postestimation command allows you to test for higher-order autocorrelation as well (which might well be present even if an AR(1) coefficient is insignificant). Also consider using - wntestq-, which is an unconditional test of the residuals' autocorrelation function. (B-G is a conditional test in that it uses the X matrix from the regression, whereas the Lung-Box-Pierce "Q" test may be applied to any time series). All will require that the data are properly -tsset-.


Kit Baum   |   Boston College Economics & DIW Berlin   |
An Introduction to Stata Programming |
   An Introduction to Modern Econometrics Using Stata  |

*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index