IVACTEST: Stata module to perform Cumby-Huizinga test for autocorrelation after IV/OLS estimation
Christopher F Baum
Mark E Schaffer
ivactest performs the general specification test of serial correlation proposed by Cumby and Huizinga (1992) after OLS or instrumental variables (IV) estimation. In their words, the null hypothesis of the test is that the regression error is a moving average of known order q>=0 against the general alternative that autocorrelations of the regression error are nonzero at lags greater than q. The test is general enough to test the hypothesis that the regression error has no serial correlation (q=0) or the null hypothesis that serial correlation in the regression error exists, but dies out at a known finite lag (q>0). The test is especially attractive because it can be used in frequently encountered cases where alternative such as the Box-Pierce test (wntestq), Durbin's h test (estat durbinalt) and the Breusch-Godfrey test (estat bgodfrey) are not applicable.
instrumental variables, autocorrelation, serial correlation, moving average errors
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