Just to underline what should be obvious: -ac- and -pac- have no way of
knowing that these variables were originally residuals. Any adjustment
in test procedure that might entail is entirely up to you.
Nick
[email protected]
Robert A Yaffee
If you are running reg3 and save your residuals from each equation,
calling them residi, where i=the equation number,
you should be able to very simply apply and acf to them, with the
command:
ac residi
and
pac reside
Valerie Orozco
> I'm estimating a system of equations (by 3SLS with "reg3") (20
equations)
> I'm wondering if a joint test for autocorrelation in the disturbance
> exists in such simultaneous model.
>
> I know the durbin Watson test, breush godfrey test, and ljung box test
> to test the correlation in the disturbance of one equation (after
"regress").
> Thus, in my system of equations, I am able to test each equation
> separately (programming the durbin Watson or ljung box formula for
> each of all the equation). But I would like to know if there exists a
> way to test the autocorrelation globally (i.e a joint test)
> (even if I have to program it)
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