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help regress postestimation ts dialog: estat
also see: regress
regress postestimation
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Title
[R] regress postestimation time series -- Postestimation tools for regress with time series
Description
The following postestimation commands for time series are available for regress:
command description
-----------------------------------------------------------------------------------------------------------
estat archlm test for ARCH effects in the residuals
estat bgodfrey Breusch-Godfrey test for higher-order serial correlation
estat durbinalt Durbin's alternative test for serial correlation
estat dwatson Durbin-Watson d statistic to test for first-order serial correlation
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Special-interest postestimation commands
These commands provide regression diagnostic tools specific to time series. You must tsset your data
before using these commands.
estat archlm tests for time-dependent volatility. estat dwatson, estat durbinalt, and estat bgodfrey test
for serial correlation in the residuals of a linear regression. For non-time-series regression diagnostic
tools, see [R] regress postestimation.
estat archlm performs Engle's Lagrange multiplier test for the presence of autoregressive conditional
heteroskedasticity.
estat bgodfrey performs the Breusch-Godfrey test for higher-order serial correlation in the disturbance.
This test does not require that all the regressors be strictly exogenous.
estat durbinalt performs Durbin's alternative test for serial correlation in the disturbance. This test
does not require that all the regressors be strictly exogenous.
estat dwatson computes the Durbin-Watson d statistic to test for first-order serial correlation in the
disturbance when all the regressors are strictly exogenous.
Syntax for estat archlm
estat archlm [, archlm_options]
archlm_options description
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lags(numlist) test numlist lag order
force allow test after regress, vce(robust)
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Options for estat archlm
lags(numlist) specifies a list of numbers, indicating the lag orders to be tested. The test will be
performed separately for each order. The default is order one.
force allows the test to be run after regress, vce(robust). The command will not work if the vce(cluster
clustvar) option is specified with regress.
Syntax for estat bgodfrey
estat bgodfrey [, bgodfrey_options]
bgodfrey_options description
-----------------------------------------------------------------------------------------------------------
lags(numlist) test numlist lag orders
nomiss0 do not use Davidson and MacKinnon's approach
small obtain p-values by using F for t distribution
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Options for estat bgodfrey
lags(numlist) specifies a list of numbers, indicating the lag orders to be tested. The test will be
performed separately for each order. The default is order one.
nomiss0 specifies that Davidson and MacKinnon's approach, which replaces the missing values in the initial
observations on the lagged residuals in the auxiliary regression with zeros, not be used.
small specifies that the p-values of the test statistics be obtained using the F or t distribution instead
of the default chi-squared or normal distribution.
Syntax for estat durbinalt
estat durbinalt [, durbinalt_options]
durbinalt_options description
-----------------------------------------------------------------------------------------------------------
lags(numlist) test numlist lag orders
nomiss0 do not use Davidson and MacKinnon's approach
robust compute standard errors using the robust/sandwich estimator
small obtain p-values by using the F or t distribution
force allow test after regress, vce(robust) or newey
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Options for estat durbinalt
lags(numlist) specifies a list of numbers, indicating the lag orders to be tested. The test will be
performed separately for each order. The default is order one.
nomiss0 specifies that Davidson and MacKinnon's approach, which replaces the missing values in the initial
observations on the lagged residuals in the auxiliary regression with zeros, not be used.
robust specifies that the Huber/White/sandwich robust estimator for the variance-covariance matrix be used
in Durbin's alternative test.
small specifies that the p-values of the test statistics be obtained using the F or t distribution instead
of the default chi-squared or normal distribution. This option may not be specified with robust, which
always uses an F or t distribution.
force allows the test to be run after regress, vce(robust) and after newey. The command will not work if
the vce(cluster clustvar) option is specified with regress.
Syntax for estat dwatson
estat dwatson
Examples
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. webuse klein
. tsset yr
. regress consump wagegovt
. estat dwatson
. estat durbinalt, small
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. webuse klein
. tsset yr
. regress consump wagegovt L.consump L2.consump
. estat durbinalt, small lags(1/2)
. estat bgodfrey, small lags(1/2)
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. webuse klein
. tsset yr
. regress consump wagegovt
. estat archlm, lags(1 2 3)
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