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estat dwatson

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regress postestimation time series ¡ª Postestimation tools for regress with time series
Description
The following postestimation commands for time series are available for regress:
Command
estat archlm estat bgodfrey estat durbinalt estat dwatson
Description
test for ARCH effects in the residuals
Breusch¨CGodfrey test for higher-order serial correlation Durbin¡¯s alternative test for serial correlation
Durbin¨CWatson d statistic to test for first-order serial correlation
These commands provide regression diagnostic tools specific to time series. You must tsset your data before using these commands; see [TS] tsset.
estat archlm tests for time-dependent volatility. estat bgodfrey, estat durbinalt, and estat dwatson test for serial correlation in the residuals of a linear regression. For non¨Ctime-series regression diagnostic tools, see [R] regress postestimation.
estat archlm performs Engle¡¯s Lagrange multiplier (LM) test for the presence of autoregressive conditional heteroskedasticity.
estat bgodfrey performs the Breusch¨CGodfrey 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¨CWatson d statistic (Durbin and Watson 1950) to test for first-order serial correlation in the disturbance when all the regressors are strictly exogenous.