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Frank said
What I would like to do, which I cannot find exactly in the archives,
is to check the independence of the residual terms (e) from a
regression. I would like to run the -durbinh- command...
Nick Cox answered the technical question re -tsset-. I do not
recommend you rely on the -durbinh- command. It is a special case of
the Breusch-Godfrey test in which you only consider AR(1) vs i.i.d.
The -estat bgodfrey- postestimation command allows you to test for
higher-order autocorrelation as well (which might well be present even
if an AR(1) coefficient is insignificant). Also consider using -
wntestq-, which is an unconditional test of the residuals'
autocorrelation function. (B-G is a conditional test in that it uses
the X matrix from the regression, whereas the Lung-Box-Pierce "Q" test
may be applied to any time series). All will require that the data are
properly -tsset-.
Kit
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming
| http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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