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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  |

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