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JOINTDIAG: Stata module to perform joint and simultaneous diagnostic tests for time-series models

Author

Listed:
  • Merwan Roudane

Programming Language

Abstract

The diagnostic tests in routine use -- Jarque-Bera, Breusch-Pagan, Breusch-Godfrey, RESET, Engle's ARCH LM -- each test one departure from the classical assumptions while assuming the remaining assumptions hold. Bera and Jarque (1982) named the two consequences: undertesting (a significant AR statistic that is really a misspecified functional form) and overtesting (four separate 5% tests whose true joint size is nearer 20%). jointdiag implements the literature that addresses this. It provides eleven subcommands of tests that either detect several misspecifications simultaneously, or remain valid in the presence of the misspecification not currently being tested.

Suggested Citation

  • Merwan Roudane, 2026. "JOINTDIAG: Stata module to perform joint and simultaneous diagnostic tests for time-series models," Statistical Software Components S459924, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459924
    Note: This module should be installed from within Stata by typing "ssc install jointdiag". 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.
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    File URL: http://fmwww.bc.edu/repec/bocode/j/jointdiag.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/j/jointdiag.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/j/jointdiag_all.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_jd_coln.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/l/ljointdiag.mlib
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