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st: re: Durbin alternative test


From   Kit Baum <Baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: Durbin alternative test
Date   Tue, 18 Dec 2007 19:23:14 -0500

Josiane said

This is my first time running this test and I am not sure how to
interpret the results.

. estat durbinalt

Durbin's alternative test for autocorrelation
------------------------------------------------------------------------
---
lags(p) | chi2 df Prob >
chi2
-------------+----------------------------------------------------------
---
1 | 0.998 1 0.3179
------------------------------------------------------------------------
---
H0: no serial correlation

Does this mean the regression model I just created contains a serial
correlation?



No, the null is "no serial correlation", and you have a p-value far in excess of 0.05 or 0.10, which would imply a rejection at the 95% or 90% level, respectively.

Note that this test is a special case of the Breusch-Godfrey test, which considers more than 1 lag, and is thus more general in determining whether there is any evidence of serial correlation. See -estat bgodfrey-



Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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