Thanks to Kit Baum, a -rvlrplot- package
is now available on SSC for plotting
residuals from a model fitted to time series. This
is a
_r_esiduals _v_ersus _l_agged _r_esiduals _p_lot
That is, -rvlrplot- plots residuals from the last model versus lagged
(i.e. lag 1) residuals. Data must have been -tsset- previously.
More precisely, residuals are whatever -predict, res- produces
after a model. The plot is restricted to the estimation sample.
The correlation between residuals and lagged residuals is
calculated quietly. This may be retrieved by -return list-
and then (say) used in a second pass giving the correlation
on the graph.
Stata 7 is required.
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
