Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
| From | Katia Bobulova <katia.bobulova@googlemail.com> |
| To | statalist <statalist@hsphsun2.harvard.edu> |
| Subject | st: Autocorrelation(testparm or wntstmvq?) |
| Date | Fri, 10 Jun 2011 15:53:37 +0200 |
Dear All, I would like to test the autocorrelation between rt,rt-1 and so on. I typed this command: reg rt L(1/4).rt testparm L.rt L2.rt L3.rt L4.rt However, I found in the book "Alaysis of Financial Time Series", pag. 27 that I can test jointly that several autocorrelations of rt are zero with the potmanteau test. The command in stata is: wntstmvq. However, all the exmaples that I found related to this command refer to autocorrelations in the residuals. Is it correct to do something like this, to test instead the autocorrelation in the resturns?: wntstmvq bq Are testparm and wntstmvq two different ways to test the same thing? I am a little bit confused on which one should I use in my case. Any help would be really appreciated. Katia * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/