st: routine to perform Cumby-Huizinga test

[Kit Baum <baum@bc.edu>]

sacrificial lamb	(to the tune of 'oh where, oh where has my first  
line gone...oh where, oh where can it be?!?)

 'IVACTEST': module to perform Cumby-Huizinga test for  
autocorrelation after IV/OLS estimation

DESCRIPTION/AUTHOR(S)

      ivactest performs the general specification test of serial
      correlation proposed by Cumby and Huizinga (1992) after OLS or
      instrumental variables (IV) estimation. In their words, the null
      hypothesis of the test is that the regression error is a  moving
      average of known order q>=0 against the general alternative that
      autocorrelations of the regression error are nonzero at lags
      greater than q. The test is general enough to test the hypothesis
      that the regression error has no serial correlation (q=0) or the
      null hypothesis that serial correlation in  the regression error
      exists, but dies out at a known finite lag (q>0). The test is
      especially attractive because it can be used in frequently
      encountered cases where alternative such as the Box-Pierce test
      (wntestq), Durbin's h test (estat durbinalt) and the
      Breusch-Godfrey test (estat bgodfrey) are not applicable.

      Requires: Stata version 9.2

Available now from SSC.

Kit Baum and Mark E. Schaffer

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