Statalist


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

st: estat abond when error is MA(1)


From   Hewan Belay <hewan_belay@yahoo.com>
To   Stata List <statalist@hsphsun2.harvard.edu>
Subject   st: estat abond when error is MA(1)
Date   Sun, 29 Nov 2009 15:42:31 -0800 (PST)

Apologies for one error in my question! The sentence about the p-values should have read instead: 

"I should expect to see p-values for both the 1st and 2nd order of the -estat abond-test showing *siginifant* test stats, i.e. p-values *lower* than say 0.10."

Sorry for the confusion! Below I am re-posting, this time with the corrected sentence:

> Dear Statalist,
> 
> I wanted to confirm if my my derivation and understanding
> is correct: Suppose we assume that in a dynamic model the
> idiosyncratic error is not iid, but rather MA(1). In that
> case, the differenced error would be MA(2). So both the
> first- and the second-order serial correlation of the
> *differenced* error term would be non-zero, whereas the
> third- and higher-order correlations would be zero. Correct
> so far? 
>  
> In that case, if my assumption of an MA(1) process in the
> level of the error is on target, I should expect to see
> p-values for both the 1st and 2nd order of the -estat abond-
> test showing siginifant test stats, i.e. p-values lower
> than say 0.10. 
>  
> My first quetion is: is this right? And secondly, is there
> any other test through which I can discern if, say the third
> order correlation is indeed zero as it should be if the
> MA(1) errors assumption is appropriate? Please note that I
> am using an estimator with robust standard errors, so the
> postestimation test -estat sargan- is not available to me.
>  
> Many thanks!
> Hewan


      

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index