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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 13:15:53 -0400

Frank said

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.

Residuals are never integers (except by chance). To analyze serial correlation, the data must be on a time-series calendar with even increments of time between observations. Those dates are integers.

As I said previously, durbinh considers the null that there is no serial correlation against the alternative that there is AR(1). You can fail to reject in a situation where the errors are most decidedly not i.i.d. but rather AR(p), p > 1. That is quite common in real data. A test such as Breusch-Godfrey (of which Durbin's h is just a special case) allows for p > 1, as does the 'Q' test applied to residuals.

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

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