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DURBINH: Stata module to calculate Durbin's h test for serial correlation

Author

Listed:
  • Christopher F Baum

    (Boston College)

  • Vince Wiggins

    (Stata Corporation)

Programming Language

Stata

Abstract

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.

Suggested Citation

  • Christopher F Baum & Vince Wiggins, 1999. "DURBINH: Stata module to calculate Durbin's h test for serial correlation," Statistical Software Components S387301, Boston College Department of Economics, revised 11 Aug 2002.
  • Handle: RePEc:boc:bocode:s387301
    Note: This module may be installed from within Stata by typing "ssc install durbinh". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/d/durbinh.ado
    File Function: program code
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/d/durbinh.hlp
    File Function: help file
    Download Restriction: no
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