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st: Autocorrelation(testparm or wntstmvq?)
From
Katia Bobulova <[email protected]>
To
statalist <[email protected]>
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
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