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From |
John Antonakis <[email protected]> |

To |
[email protected] |

Subject |
Re: st: re: tsset with non-integers |

Date |
Thu, 07 May 2009 19:32:14 +0200 |

HTH, John. ____________________________________________________ Prof. John Antonakis Associate Dean Faculty of Business and Economics University of Lausanne Internef #618 CH-1015 Lausanne-Dorigny Switzerland Tel ++41 (0)21 692-3438 Fax ++41 (0)21 692-3305 Faculty page: http://www.hec.unil.ch/people/jantonakis&cl=en Personal page: http://www.hec.unil.ch/jantonakis ____________________________________________________ On 07.05.2009 19:02, Frank Gallo wrote:

<> SPSS offers users the post regression estimation option to test the independence of residuals terms using the Durbin-Watson test so that users can check the independence assumption. My data are not of the time series type. As a stata beginner, I am trying to learn a stata equivalent approach. Thank you. Best, FrankOn Thursday, May 07, 2009, at 09:47AM, "Nick Cox" <[email protected]> wrote:Why can't you -tsset- the data?If your data are time series, you should know the times (dates). Specify the time variable to -tsset-.If they aren't, then serial correlation is presumably not defined or applicable anyway.Nick[email protected]Frank Gallo Hi Eva, The way I understood Kit's response was that both suggested approaches (estat bgodfrey and wntestq) require the user to tsset the data, which I cannot do. I am looking to test the autocorrelation of residuals terms so that I can check the regression assumption of indepence of errors. Thank you. On Thursday, May 07, 2009, at 09:31AM, "Eva Poen" <[email protected]> wrote:Frank, please tell us what you don't understand about the replies you have got so far. Kit gave recommendations for testing for autocorrelation in residuals. If it is serial correlation that you are after, you have time series (or panel) data, and should tell Stata about it, using the -tsset- command. See -help tsset-. If it is not serial correlation but some other kind of dependence, you need to be more specific about the type of data you have. Kit discouraged the use of -durbinh-, but if you insist on using it anyway, you need to -tsset- your data first. In any case, residuals are very unlikely to be integers. Your _time_ variable (e.g. years or quarters or months) could be integer. But that has nothing to do with your residuals. Eva 2009/5/7 Frank Gallo <[email protected]>:<> Hi Nick & Kit, Thank you for your responses. My goal is only to check the independence of residual terms following a regression run. My reading of the durbinh command lead me to believe that it would help me achieve my goal. Can you suggest an alternative option to check the independence of residual terms that are non-integers? Thank you. Best, Frank On Thursday, May 07, 2009, at 06:32AM, "Kit Baum" <[email protected]> wrote:<> Frank said What I would like to do, which I cannot find exactly in the archives, is to check the independence of the residual terms (e) from a regression. I would like to run the -durbinh- command... Nick Cox answered the technical question re -tsset-. I do not recommend you rely on the -durbinh- command. It is a special case of the Breusch-Godfrey test in which you only consider AR(1) vs i.i.d. The -estat bgodfrey- postestimation command allows you to test for higher-order autocorrelation as well (which might well be present even if an AR(1) coefficient is insignificant). Also consider using - wntestq-, which is an unconditional test of the residuals' autocorrelation function. (B-G is a conditional test in that it uses the X matrix from the regression, whereas the Lung-Box-Pierce "Q" test may be applied to any time series). All will require that the data are properly -tsset-.* * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/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/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: re: tsset with non-integers***From:*Frank Gallo <[email protected]>

**Re: st: re: tsset with non-integers***From:*Antoine Terracol <[email protected]>

**References**:**st: re: tsset with non-integers***From:*Kit Baum <[email protected]>

**Re: st: re: tsset with non-integers***From:*Frank Gallo <[email protected]>

**Re: st: re: tsset with non-integers***From:*Eva Poen <[email protected]>

**Re: st: re: tsset with non-integers***From:*Frank Gallo <[email protected]>

**RE: st: re: tsset with non-integers***From:*"Nick Cox" <[email protected]>

**RE: st: re: tsset with non-integers***From:*Frank Gallo <[email protected]>

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