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st: Seasonal Dummies and Autocorrelation


From   Beatrice Crozza <beatrice.crozza@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Seasonal Dummies and Autocorrelation
Date   Fri, 23 Jul 2010 13:06:53 +0100

Dear All,

I need to calculate the autocorrelation of my variable (y) and to do a
chi-square test that the first 6 autocorrelations are zero. I want  to
take into account the seasonal effect. I constructed dummy variables
for the days of the week and they are significant.

 reg y L(1/6).y dum*, nocon

Then I performed my Chi square test  in this way:

testparm L1.y L2.y L3.y L4.y L5.y L6.y dum1 dum2 dum3 dum4 dum5 dum6

1)Is it correct?

2)I saw an example on the book “An introduction to modern econometrics
using Stata” by Christopher  Baum (pag. 175)on how to remove
seasonality and I would like to regress again my seasonal adjusted
variable to check again for independence, however, when I try to give
the command for my data:

Replace ySA= ySA + ‘mu’
I receive this error message:  ‘mu’ invalid name.

Could you please help me?

Thank you very much.

Best,
Bea

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