English, Article edition: DURBINH: Stata module to calculate Durbin's h test for serial correlation Christopher F Baum; Vince Wiggins

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Bookmark: http://trove.nla.gov.au/version/102312
Physical Description
  • code
Language
  • English

Edition details

Title
  • DURBINH: Stata module to calculate Durbin's h test for serial correlation
Author
  • Christopher F Baum
  • Vince Wiggins
Physical Description
  • code
Notes
  • In the presence of lagged dependent variables, the Durbin-Watson statistic and Box-Pierce Q statistics are not appropriate tests for serial correlation in the errors. Durbin's h statistic may be used in this context. An asymptotically equivalent variant of Durbin's h statistic is computed by this command. This is version 1.04 of the software, updated from that published in STB-55. The force option has been added to allow durbinh to be employed after regress, robust and newey. The test is built in to Stata 8 as "durbina"; also see "durbina2" which will work on a single timeseries of a panel.
  • time-series data, autocorrelation
  • RePEc:boc:bocode:s387301
Language
  • English
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