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BGTEST: Stata module to calculate Breusch-Godfrey test for serial correlation


Author Info

  • Christopher F Baum

    (Boston College)

  • Vince Wiggins

    (Stata Corporation)


bgtest computes the Breusch (1978)-Godfrey (1978) Lagrange multiplier test for nonindependence in the error distribution. For a specified number of lags p, the test's null of independent errors has alternatives of either AR(p) or MA(p). The test statistic, a T R^2 measure, is distributed Chi-squared(p) under the null hypothesis. The test is asymptotically equivalent to the Box- Pierce portmanteau test, or Q statistic (wntestq), for p lags, but unlike the Q statistic, the Breusch-Godfrey test is valid in the presence of stochastic regressors such as lagged values of the dependent variable. For p=1, the test is asymptotically equivalent to the Durbin-Watson 'h' statistic (durbinh), which may be considered a special case of the Breusch-Godfrey test statistic. This is version 1.03 of the software, updated from that published in STB-55 to zero-fill lagged residuals, altering the degrees of freedom in the auxiliary regression. The force option has been added to allow bgtest to be employed after regress, robust and newey. The test is built in to Stata 7 as "bgodfrey"; also see "bgodfrey2" which will work on a single timeseries of a panel.

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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S387302.

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Programming language: Stata
Requires: Stata version 6.0
Date of creation: 23 Aug 1999
Date of revision: 11 Aug 2002
Handle: RePEc:boc:bocode:s387302

Note: This module may be installed from within Stata by typing "ssc install bgtest". 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
Phone: 617-552-3670
Fax: +1-617-552-2308
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Related research

Keywords: time-series data; autocorrelation;


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