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From |
Richard Goldstein <richgold@ix.netcom.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: re: tsset with non-integers |

Date |
Thu, 07 May 2009 12:57:53 -0400 |

Rich 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.Nickn.j.cox@durham.ac.ukFrank 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" <eva.poen@gmail.com> wrote:Frank, 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. Eva 2009/5/7 Frank Gallo <fjgallo@mac.com>:<> 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. Best, Frank On Thursday, May 07, 2009, at 06:32AM, "Kit Baum" <baum@bc.edu> 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-.

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**References**:**st: re: tsset with non-integers***From:*Kit Baum <baum@bc.edu>

**Re: st: re: tsset with non-integers***From:*Frank Gallo <fjgallo@mac.com>

**Re: st: re: tsset with non-integers***From:*Eva Poen <eva.poen@gmail.com>

**Re: st: re: tsset with non-integers***From:*Frank Gallo <fjgallo@mac.com>

**RE: st: re: tsset with non-integers***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

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