ACTEST: Stata module to perform Cumby-Huizinga general test for autocorrelation in time series
actest performs the general specification test of serial correlation in a time series proposed by Cumby and Huizinga (1990, 1992). It can be applied to a univariate time series or as a postestimation command after OLS or instrumental variables (IV) estimation. The null hypothesis of the test is that the time series is a moving average of known order q, which could be zero or a positive value. The test considers the general alternative that autocorrelations of the time series are nonzero at lags greater than q. The test is general enough to test the hypothesis that the time series has no serial correlation (q=0) or the null hypothesis that serial correlation in the time series exists, but dies out at a known finite lag (q>0).
|Requires:||Stata version 11.2 (version 9.2 for actest9)|
|Date of creation:||23 Jul 2013|
|Date of revision:||24 Jan 2015|
|Note:||This module should be installed from within Stata by typing "ssc install actest". 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/
More information through EDIRC
|Order Information:||Web: http://repec.org/docs/ssc.php|
When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s457668. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum)
If references are entirely missing, you can add them using this form.