English, Article edition: BGTEST: Stata module to calculate Breusch-Godfrey test for serial correlation Christopher F Baum; Vince Wiggins

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Physical Description
  • code
Language
  • English

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Title
  • BGTEST: Stata module to calculate Breusch-Godfrey test for serial correlation
Author
  • Christopher F Baum
  • Vince Wiggins
Physical Description
  • code
Notes
  • bgtest computes the Breusch (1978)-Godfrey (1978) Lagrange multiplier test for nonindependence in the error distribution. For a specified number of lags p, the test's null of independent errors has alternatives of either AR(p) or MA(p). The test statistic, a T R^2 measure, is distributed Chi-squared(p) under the null hypothesis. The test is asymptotically equivalent to the Box- Pierce portmanteau test, or Q statistic (wntestq), for p lags, but unlike the Q statistic, the Breusch-Godfrey test is valid in the presence of stochastic regressors such as lagged values of the dependent variable. For p=​1, the test is asymptotically equivalent to the Durbin-Watson 'h' statistic (durbinh), which may be considered a special case of the Breusch-Godfrey test statistic. This is version 1.03 of the software, updated from that published in STB-55 to zero-fill lagged residuals, altering the degrees of freedom in the auxiliary regression. The force option has been added to allow bgtest to be employed after regress, robust and newey. The test is built in to Stata 7 as "bgodfrey"; also see "bgodfrey2" which will work on a single timeseries of a panel.
  • time-series data, autocorrelation
  • RePEc:boc:bocode:s387302
Language
  • English
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