st: re: chi-square test

[Kit Baum <baum@bc.edu>]

<>
Stas said

If that's what you've done, it is a pretty odd regression of L.x on L2.x,
..., L6.x. You probably meant

reg x L(1/6).x

after which you can

testparm L.x L2.x ... L6.x

(you'd have to write all of them out).


Hardly; the ANOVA F statistic for the equation is the test that all lag coefficients are jointly zero.


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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