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RE: st: Serial correlation test for IV estimation


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Serial correlation test for IV estimation
Date   Mon, 10 Dec 2012 15:06:39 -0000

Silva,

You might find -ivactest- helpful as well.  This implements the
Cumby-Huizinga (1992) test for serial correlation in IV estimation.  It
can be seen as a generalization of the Breusch-Godfrey statistic - see
the ivactest help file.

ssc install ivactest

etc.

HTH,
Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Regiane Silva Rodrigues
> Sent: Monday, December 10, 2012 2:25 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: RE: st: Serial correlation test for IV estimation
> 
> Thank you very much!
> It was so helpful.
> 
> ----------------------------------------
> > From: vanbekkum@ese.eur.nl
> > Date: Mon, 10 Dec 2012 14:48:33 +0100
> > Subject: Re: st: Serial correlation test for IV estimation
> > To: statalist@hsphsun2.harvard.edu
> >
> > Try "ssc install abar". This installs the Arellano-Bond test for
> > autocorrelation coded by David Roodman. As you will see in the help
> > file: the test was originally proposed for a particular linear
> > Generalized Method of Moments dynamic panel data estimator, but is
> > quite general in its applicability--more general than dwstat,
> > durbina, bgodfrey, and xtserial.
> >
> > ---
> >
> > Sjoerd van Bekkum
> > Erasmus University, Netherlands
> >
> > >
> > >
> > >
> > > On 10 December 2012 13:50, Regiane Silva Rodrigues 
> <re_rdgz@hotmail.com> wrote:
> > >>
> > >> Can someone help me!
> > >> How I can estimate a t-test for test serial correlation 
> in an IV regression.
> > >> Is it a simple t-test on the lagged dependent variable 
> (the serial correlation coefficient)???
> > >
> > >
> > *
> > * For searches and help try:
> > * http://www.stata.com/help.cgi?search
> > * http://www.stata.com/support/faqs/resources/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/faqs/resources/statalist-faq/
> *   http://www.ats.ucla.edu/stat/stata/
> 


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