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From |
Hewan Belay <hewan_belay@yahoo.com> |

To |
Stata List <statalist@hsphsun2.harvard.edu> |

Subject |
st: estat abond when error is MA(1) |

Date |
Sun, 29 Nov 2009 15:42:31 -0800 (PST) |

Apologies for one error in my question! The sentence about the p-values should have read instead: "I should expect to see p-values for both the 1st and 2nd order of the -estat abond-test showing *siginifant* test stats, i.e. p-values *lower* than say 0.10." Sorry for the confusion! Below I am re-posting, this time with the corrected sentence: > Dear Statalist, > > I wanted to confirm if my my derivation and understanding > is correct: Suppose we assume that in a dynamic model the > idiosyncratic error is not iid, but rather MA(1). In that > case, the differenced error would be MA(2). So both the > first- and the second-order serial correlation of the > *differenced* error term would be non-zero, whereas the > third- and higher-order correlations would be zero. Correct > so far? > > In that case, if my assumption of an MA(1) process in the > level of the error is on target, I should expect to see > p-values for both the 1st and 2nd order of the -estat abond- > test showing siginifant test stats, i.e. p-values lower > than say 0.10. > > My first quetion is: is this right? And secondly, is there > any other test through which I can discern if, say the third > order correlation is indeed zero as it should be if the > MA(1) errors assumption is appropriate? Please note that I > am using an estimator with robust standard errors, so the > postestimation test -estat sargan- is not available to me. > > Many thanks! > Hewan * * 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/

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