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From |
Katia Bobulova <katia.bobulova@googlemail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Autocorrelation(testparm or wntstmvq?) |

Date |
Sun, 12 Jun 2011 22:25:03 +0200 |

Dear Robson, thank you very much for your reply. So, this is the output that I have from Stata: Source SS df MS Number of obs = 694 F( 6, 687) = 11.25 Model 60244.0295 6 10040.6716 Prob > F = 0.0000 Residual 613010.929 687 892.301206 R-squared = 0.0895 Adj R-squared = 0.0815 Total 673254.958 693 971.507876 Root MSE = 29.871 rt Coef. Std. Err. t P>t [95% Conf. Interval] rt L1. .2131653 .0380781 5.60 0.000 .1384018 .2879288 L2. .0697527 .0384977 1.81 0.070 -.0058346 .14534 L3. .0585814 .0386236 1.52 0.130 -.017253 .1344158 L4. -.0130796 .0385477 -0.34 0.734 -.088765 .0626059 L5. .1511356 .0385143 3.92 0.000 .0755158 .2267555 L6. -.0665402 .0381089 -1.75 0.081 -.141364 .0082836 _cons 30.22744 3.645471 8.29 0.000 23.06984 37.38505 What are you saying is that I should look at the Prob>F? Thanks a lot for your help. Best, Katia 2011/6/11, Robson Glasscock <glasscockrc@vcu.edu>: > Hi Katia, > The model you estimated attempts to explain current variation in your > dependent variable (rt) using 4 lags of rt. The regression output > tells you the impact/significance of each individual lag (l.rt- l4rt) > on the current value of rt. The testparm command you wrote uses a Wald > test to test the null hypothesis that beta l.rt= beta l2.rt= beta > l3.rt= beta l4.rt= 0. Note that in your model you don't need to use > the testparm command to test that all of your parameters are jointly > equal to zero because the standard output already gives this to you in > the form of the overall F/LR test in the upper right-hand corner of > the output. > > Testing for autocorrelation in residuals of time-series models is > different. The presence of autocorrelation in the residuals of our > "best" model tells us that we haven't modeled the process perfectly. > There is still some systematic variation in the error terms, but > knowing that autocorrelation exists via the test still won't tell us > what, exactly, the autocorrelation is caused by. > > best, > Robson Glasscock > On Fri, Jun 10, 2011 at 9:53 AM, Katia Bobulova > <katia.bobulova@googlemail.com> wrote: >> Dear All, >> >> I would like to test the autocorrelation between rt,rt-1 and so on. >> >> I typed this command: >> >> reg rt L(1/4).rt >> testparm L.rt L2.rt L3.rt L4.rt >> >> However, I found in the book "Alaysis of Financial Time Series", pag. >> 27 that I can test jointly that several autocorrelations of rt are >> zero with the potmanteau test. >> >> The command in stata is: wntstmvq. >> >> However, all the exmaples that I found related to this command refer >> to autocorrelations in the residuals. Is it correct to do something >> like this, to test instead the autocorrelation in the resturns?: >> >> wntstmvq bq >> >> Are testparm and wntstmvq two different ways to test the same thing? >> >> I am a little bit confused on which one should I use in my case. Any >> help would be really appreciated. >> >> Katia >> * >> * 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/ >> > > * > * 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/ > * * 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/

**References**:**st: Autocorrelation(testparm or wntstmvq?)***From:*Katia Bobulova <katia.bobulova@googlemail.com>

**Re: st: Autocorrelation(testparm or wntstmvq?)***From:*Robson Glasscock <glasscockrc@vcu.edu>

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