Valerie,
If you are running reg3 and save your residuals from each equation, calling them residi, where i=the equation number,
you should be able to very simply apply and acf to them, with the command:
ac residi
and
pac residi
Regards,
Bob Yaffee
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
----- Original Message -----
From: Valerie Orozco <[email protected]>
Date: Tuesday, July 1, 2008 11:08 am
Subject: st: How to test autocorrelation in the disturbance in a system of equations?
To: "[email protected]" <[email protected]>
> Dear all,
>
> I posted my question some days ago but have no answer. I try to
> explain it in a better way.
> I'm estimating a system of equations (by 3SLS with "reg3") (20 equations)
> I'm wondering if a joint test for autocorrelation in the disturbance
> exists in such simultaneous model.
>
> I know the durbin Watson test, breush godfrey test, and ljung box test
> to test the correlation in the disturbance of one equation (after "regress").
> Thus, in my system of equations, I am able to test each equation
> separately (programming the durbin Watson or ljung box formula for
> each of all the equation). But I would like to know if there exists a
> way to test the autocorrelation globally (i.e a joint test)
> (even if I have to program it)
>
> If you have any idea...
>
> Thank you very much.
>
> val�rie
>
> -------------------------------
> Val�rie OROZCO
> Toulouse School of Economics (INRA-GREMAQ)
> 21, all�e de Brienne
> F-31000 Toulouse, France
> -------------------------------
>
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