DURBINH: Stata module to calculate Durbin's h test for serial correlation
AbstractIn 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.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S387301.
Programming language: Stata
Requires: Stata version 6.0
Date of creation: 12 Aug 1999
Date of revision: 11 Aug 2002
Note: This module may be installed from within Stata by typing "ssc install durbinh". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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