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st: Autocorrelation(testparm or wntstmvq?)


From   Katia Bobulova <[email protected]>
To   statalist <[email protected]>
Subject   st: Autocorrelation(testparm or wntstmvq?)
Date   Fri, 10 Jun 2011 15:53:37 +0200

Dear All,

I would like to test the autocorrelation between rt,rt-1 and so on.

I typed this command:

reg rt L(1/4).rt
testparm L.rt L2.rt L3.rt L4.rt

However, I found in the book "Alaysis of Financial Time Series", pag.
27 that I can test jointly that several autocorrelations of rt are
zero with the potmanteau test.

The command in stata is:  wntstmvq.

However, all the exmaples that I found related to this command refer
to autocorrelations in the residuals. Is it correct to do something
like this, to test instead the autocorrelation in the resturns?:

wntstmvq bq

Are testparm and wntstmvq two different ways to test the same thing?

I am a little bit confused on which one should I use in my case. Any
help would be really appreciated.

Katia
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