A general approach to testing for autocorrelation
Testing for the presence of autocorrelation in a time series is a common task for researchers working with time series data.Â The standard Q test statistic, introduced by Box and Pierce (1970) and refined by Ljung and Box (1978), is applicable to univariate time series and to testing for residual autocorrelation under the assumption of strict exogeneity. Â Â Breusch (1978) and Godfrey (1978) in effect extended the L-B-P approach to testing for autocorrelations in residuals in models with weakly exogenous regressors. However, each of these readily-available tests have important limitations. We use the results of Cumby and Huizinga (1992) to extend the implementation of the Q test statistic of L-B-P-B-G to cover a much wider ranges of hypotheses and settings: (a) tests for the presence of autocorrelation of order p through q, where under the null hypothesis there may be autocorrelation of order p-1 or less; (b) tests following estimation in which regressors are endogenous and estimation is by IV or GMM methods; and (c) tests following estimation using panel data. We show thatÂ the Cumby-Huizinga test, although developed for the large-T setting, formally identical to the test developed by Arellano and Bond (1991) for AR(2) in a large-N panel setting.
|Date of creation:||16 Sep 2013|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.stata.com/meeting/uk13|
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:boc:usug13:13. 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 you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.