Regression diagnostics                                           (STB-15: sts4)
----------------------

	^regdiag^ [^if^ exp] [^in^ range], {all | list-of-diagnostics}

                [^lags(^#^)^] [^mdf(^#^)^] [^residual(^varname^)^]

displays a variety of regression diagnostics and model selection
criteria for the most recent ^regress^, ^fit^, ^tsfit^, or ^tsreg^
command.  Any statistics calculated are stored in system estimation
(^S_E_^) macros.


Primary options
---------------

^all^ specifies that all available statistics are to be calculated and
  displayed.

^lags(^#^)^ indicates the number of lags to use in the ARCH, LM, and Q tests.
  If this option is omitted, the ^period^ of the data is used.

^mdf(^#^)^ specifies the model degrees of freedom.  Normally, the model
  degrees of freedom in the most recent regression are used.

^residual(^varname^)^ indicates a variable to use in place of the regression
  residuals.


Diagnostic options
------------------

^aic^ (^S_E_AIC^): Akaike's information criterion.

^aicc^ (^S_E_AICC^): Akaike's information criterion corrected for bias.

^arch^ (^S_E_arch^): the p-value of a test for ARCH residuals.

^ar2^ (^S_E_aR2^): adjusted R-squared.

^dw^ (^S_E_DW^): Durbin-Watson statistic.  If the frequency of observation 
  is higher than annual, a seasonal Durbin-Watson statistic is also
  displayed and stored in ^S_E_sDW^.

^fpe^ (^S_E_FPE^): Akaike's full prediction error criterion.

^h^ (^S_E_H^): the p-value from Harvey's test for heterscedasticity.

^hq^ (^S_E_HQ^): the Hannan-Quinn criterion.

^lm^ (^S_E_lm^): the p-value from the LM test for serial correlation.

^mdl^ (^S_E_MDL^): Rissanen's minimum description length criterion.

^normal^ (^S_E_norm^): the p-value from the Shapiro-Francia test for normality.

^pc^ (^S_E_PC^): Amemiya's prediction criterion.

^q^ (^S_E_Q^): the p-value from the Q test for serial correlation.

^rbar2^: a synonym for ^ar2^.

^r2^ (^S_E_R2^): R-squared.

^sc^ (^S_E_SC^): Schwarz's criterion.


Author
------
 
Sean Becketti, Stata Technical Bulletin


Also see
--------

    STB:  sts4 (STB-15)
On-line:  ^help^ for ^tsreg^
