Thank you Nick and thank you Robert,
I know that I can treat each equation separately (saving the residual and testing all equations independently) but since the system I am estimating is a simultaneous one with some correlations between equations, such test (equation by equation independently) is incorrect. For example, one residi of one equation coul be correlated to a lagged residj with j different from i.
I was wondering if a joint test (of all the system) for autocorrelation in the full system exists...
thank you
val�rie
________________________________________
De : Valerie Orozco
Date d'envoi : mardi 1 juillet 2008 17:06
� : [email protected]
Objet : How to test autocorrelation in the disturbance in a system of equations?
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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