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

Re: st: re: tsset with non-integers

From   Richard Goldstein <>
Subject   Re: st: re: tsset with non-integers
Date   Thu, 07 May 2009 12:57:53 -0400

after you -tsset- your data and estimate your regression, Stata offers several tests for various types of correlation for the residuals; I suggest you -help regress- and then click on -regression postestimationts- to find these (including what Kit suggested); note that these require you to -tsset- your data, but *not* your residuals


Nick Cox wrote:
Why can't you -tsset- the data? If your data are time series, you should know the times (dates). Specify the time variable to -tsset-. If they aren't, then serial correlation is presumably not defined or applicable anyway. Nick
Frank Gallo

Hi Eva,

The way I understood Kit's response was that both suggested approaches (estat bgodfrey and wntestq) require the user to tsset the data, which I cannot do. I am looking to test the autocorrelation of residuals terms so that I can check the regression assumption of indepence of errors. Thank you.

On Thursday, May 07, 2009, at 09:31AM, "Eva Poen" <> wrote:

please tell us what you don't understand about the replies you have
got so far. Kit gave recommendations for testing for autocorrelation
in residuals. If it is serial correlation that you are after, you have
time series (or panel) data, and should tell Stata about it, using the
-tsset- command. See -help tsset-.

If it is not serial correlation but some other kind of dependence, you
need to be more specific about the type of data you have.

Kit discouraged the use of -durbinh-, but if you insist on using it
anyway, you need to -tsset- your data first. In any case, residuals
are very unlikely to be integers. Your _time_ variable (e.g. years or
quarters or months)  could be integer. But that has nothing to do with
your residuals.


2009/5/7 Frank Gallo <>:

Hi Nick & Kit,

Thank you for your responses. My goal is only to check the independence of residual terms following a regression run. My reading of the durbinh command lead me to believe that it would help me achieve my goal. Can you suggest an alternative option to check the independence of residual terms that are non-integers? Thank you.


On Thursday, May 07, 2009, at 06:32AM, "Kit Baum" <> wrote:
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-.
*   For searches and help try:

© Copyright 1996–2017 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index