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Re: st: Autocorrelation(testparm or wntstmvq?)
From
Katia Bobulova <[email protected]>
To
[email protected]
Subject
Re: st: Autocorrelation(testparm or wntstmvq?)
Date
Sun, 12 Jun 2011 22:25:03 +0200
Dear Robson,
thank you very much for your reply.
So, this is the output that I have from Stata:
Source SS df MS Number of obs = 694
F( 6, 687) = 11.25
Model 60244.0295 6 10040.6716 Prob > F = 0.0000
Residual 613010.929 687 892.301206 R-squared = 0.0895
Adj R-squared = 0.0815
Total 673254.958 693 971.507876 Root MSE = 29.871
rt Coef. Std. Err. t P>t [95% Conf. Interval]
rt
L1. .2131653 .0380781 5.60 0.000 .1384018 .2879288
L2. .0697527 .0384977 1.81 0.070 -.0058346 .14534
L3. .0585814 .0386236 1.52 0.130 -.017253 .1344158
L4. -.0130796 .0385477 -0.34 0.734 -.088765 .0626059
L5. .1511356 .0385143 3.92 0.000 .0755158 .2267555
L6. -.0665402 .0381089 -1.75 0.081 -.141364 .0082836
_cons 30.22744 3.645471 8.29 0.000 23.06984 37.38505
What are you saying is that I should look at the Prob>F?
Thanks a lot for your help.
Best,
Katia
2011/6/11, Robson Glasscock <[email protected]>:
> Hi Katia,
> The model you estimated attempts to explain current variation in your
> dependent variable (rt) using 4 lags of rt. The regression output
> tells you the impact/significance of each individual lag (l.rt- l4rt)
> on the current value of rt. The testparm command you wrote uses a Wald
> test to test the null hypothesis that beta l.rt= beta l2.rt= beta
> l3.rt= beta l4.rt= 0. Note that in your model you don't need to use
> the testparm command to test that all of your parameters are jointly
> equal to zero because the standard output already gives this to you in
> the form of the overall F/LR test in the upper right-hand corner of
> the output.
>
> Testing for autocorrelation in residuals of time-series models is
> different. The presence of autocorrelation in the residuals of our
> "best" model tells us that we haven't modeled the process perfectly.
> There is still some systematic variation in the error terms, but
> knowing that autocorrelation exists via the test still won't tell us
> what, exactly, the autocorrelation is caused by.
>
> best,
> Robson Glasscock
> On Fri, Jun 10, 2011 at 9:53 AM, Katia Bobulova
> <[email protected]> wrote:
>> 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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>>
>
> *
> * For searches and help try:
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> * http://www.ats.ucla.edu/stat/stata/
>
*
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