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Hi Nick & Kit,
Thank you for your responses. My goal is only to check the independence of residual terms following a regression run. My reading of the durbinh command lead me to believe that it would help me achieve my goal. Can you suggest an alternative option to check the independence of residual terms that are non-integers? Thank you.
Best,
Frank
On Thursday, May 07, 2009, at 06:32AM, "Kit Baum" <[email protected]> wrote:
><>
>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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