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st: routine to perform Cumby-Huizinga test


From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: routine to perform Cumby-Huizinga test
Date   Sun, 29 Apr 2007 13:27:45 -0400

sacrificial lamb (to the tune of 'oh where, oh where has my first line gone...oh where, oh where can it be?!?)

'IVACTEST': module to perform Cumby-Huizinga test for autocorrelation after IV/OLS estimation

DESCRIPTION/AUTHOR(S)

ivactest performs the general specification test of serial
correlation proposed by Cumby and Huizinga (1992) after OLS or
instrumental variables (IV) estimation. In their words, the null
hypothesis of the test is that the regression error is a moving
average of known order q>=0 against the general alternative that
autocorrelations of the regression error are nonzero at lags
greater than q. The test is general enough to test the hypothesis
that the regression error has no serial correlation (q=0) or the
null hypothesis that serial correlation in the regression error
exists, but dies out at a known finite lag (q>0). The test is
especially attractive because it can be used in frequently
encountered cases where alternative such as the Box-Pierce test
(wntestq), Durbin's h test (estat durbinalt) and the
Breusch-Godfrey test (estat bgodfrey) are not applicable.

Requires: Stata version 9.2

Available now from SSC.

Kit Baum and Mark E. Schaffer

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