regress_postestimationts.hlp

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{smcl}
{* 28mar2005}{...}
{cmd:help regress postestimation ts}{...}
{right:dialog:  {bf:{dialog regress_estat:estat}}{space 17}}
{right:also see:  {helpb regress}{space 15}}
{right: {help regress postestimation}}
{hline}

{title:Title}

{p2colset 5 47 49 2}{...}
{p2col :{hi:[R] regress postestimation time series} {hline 2}}Postestimation
tools for regress with time series{p_end}
{p2colreset}{...}


{title:Description}

{pstd}
The following postestimation commands for time series are available after
{helpb regress}:

{synoptset 19}
{p2coldent :command}description{p_end}
{synoptline}
{synopt: {helpb regress postestimationts##archlm:estat archlm}}test for 
ARCH effects in the residuals{p_end}
{synopt: {helpb regress postestimationts##bgodfrey:estat bgodfrey}}Breusch-Godfrey test for higher-order serial correlation{p_end}
{synopt: {helpb regress postestimationts##durbinalt:estat durbinalt}}Durbin's 
alternative test for serial correlation{p_end}
{synopt: {helpb regress postestimationts##dwatson:estat dwatson}}Durbin-Watson 
d statistic to test for first-order serial correlation{p_end}
{synoptline}
{p2colreset}{...}


{title:Special-interest postestimation commands}

{pstd}
These commands provide regression diagnostic tools specific to time series.
You must {cmd:tsset} your data before using these commands.

{pstd}
{cmd:estat archlm} tests for time-dependent volatility.  {cmd:estat dwatson},
{cmd:estat durbinalt}, and {cmd:estat bgodfrey} test for serial correlation in
the residuals of a linear regression.  For non-time-series regression
diagnostic tools, see {help regress postestimation}.

{pstd}
{cmd:estat archlm} performs Engle's LM test for the presence of autoregressive
conditional heteroskedasticity.

{pstd}
{cmd:estat bgodfrey} performs the Breusch-Godfrey test for higher-order serial
correlation in the disturbance.  This test does not require that all the
regressors be strictly exogenous.

{pstd}
{cmd:estat durbinalt} performs Durbin's alternative test for serial
correlation in the disturbance.  This test does not require that all the
regressors be strictly exogenous.

{pstd}
{cmd:estat dwatson} computes the Durbin-Watson d statistic to test for
first-order serial correlation in the disturbance when all the regressors are
strictly exogenous.


{marker archlm}{...}
{title:Syntax for estat archlm}

{p 8 17 2}
{cmd:estat archlm} 
[{cmd:,} {it:archlm_options}]

{synoptset 16}
{synopthdr:archlm_options}
{synoptline}
{synopt :{opth l:ags(numlist)}}test {it:numlist} lag order{p_end}
{synopt :{opt force}}allow test after {cmd:regress,} {cmd:robust}{p_end}
{synoptline}
{p2colreset}{...}


{title:Options for estat archlm}

{phang}
{opth lags(numlist)} specifies a list of numbers, indicating the lag orders to
be tested.  The test will be performed separately for each order.  The default
is order one.

{phang}
{opt force} allows the test to be run after {cmd:regress,} {cmd:robust}.  The
command will not work if the {opt cluster} option is specified with 
{helpb regress}.


{marker bgodfrey}{...}
{title:Syntax for estat bgodfrey}

{p 8 17 2}
{cmd:estat} {opt bgo:dfrey} 
[{cmd:,} {it:bgodfrey_options}]

{synoptset 19}
{synopthdr:bgodfrey_options}
{synoptline}
{synopt :{opth l:ags(numlist)}}test {it:numlist} lag orders{p_end}
{synopt :{opt nom:iss0}}do not use Davidson and MacKinnon's approach{p_end}
{synopt :{opt s:mall}}obtain p-values using F for t distribution{p_end}
{synoptline}
{p2colreset}{...}


{title:Options for estat bgodfrey}

{phang}
{opth lags(numlist)} specifies a list of numbers, indicating the lag orders to
be tested.  The test will be performed separately for each order.  The default
is order one.

{phang}
{opt nomiss0} specifies that Davidson and MacKinnon's approach, which replaces
the missing values in the initial observations on the lagged residuals in the
auxiliary regression with zeros, not be used.

{phang}
{opt small} specifies that the p-values of the test statistics be obtained
using the F or t distribution instead of the default chi-squared or normal
distribution.  This option may not be specified with {cmd:robust}, which
always uses an F or t distribution.


{marker durbinalt}{...}
{title:Syntax for estat durbinalt}

{p 8 17 2}
{cmd:estat} {opt dur:binalt} 
[{cmd:,} {it:durbinalt_options}]

{synoptset 21}
{synopthdr:durbinalt_options}
{synoptline}
{synopt :{opth l:ags(numlist)}}test {it:numlist} lag orders{p_end}
{synopt :{opt nom:iss0}}do not use Davidson and MacKinnon's approach{p_end}
{synopt :{opt r:obust}}compute standard errors using the robust/sandwich
estimator{p_end}
{synopt :{opt s:mall}}obtain p-values using the F or t distribution{p_end}
{synopt :{opt force}}allow test after {cmd:regress,} {cmd:robust} or
{cmd:newey}{p_end}
{synoptline}
{p2colreset}{...}


{title:Options for estat durbinalt}

{phang}
{opth lags(numlist)} specifies a list of numbers, indicating the lag orders to
be tested.  The test will be performed separately for each order.  The default
is order one.

{phang}
{opt nomiss0} specifies that Davidson and MacKinnon's approach, which replaces
the missing values in the initial observations on the lagged residuals in the
auxiliary regression with zeros, not be used.

{phang}
{opt robust} specifies that the Huber/White/sandwich robust estimator for the
variance-covariance matrix be used in Durbin's alternative test.

{phang}
{opt small} specifies that the p-values of the test statistics be obtained
using the F or t distribution instead of the default chi-squared or normal
distribution.  This option may not be specified with {cmd:robust}, which
always uses an F or t distribution.

{phang}
{opt force} allows the test to be run after {cmd:regress,} {cmd:robust} and
after {helpb newey}.  The command will not work if the {opt cluster} option is
specified with {helpb regress}.


{marker dwatson}{...}
{title:Syntax for estat dwatson}

{p 8 17 2}
{cmd:estat} {opt dwa:tson}


{title:Examples}

{phang}{cmd:. use http://www.stata-press.com/data/r9/klein}{p_end}
{phang}{cmd:. tsset yr}{p_end}
{phang}{cmd:. regress consump wagegovt}{p_end}
{phang}{cmd:. estat dwatson}{p_end}
{phang}{cmd:. estat durbinalt, small}{p_end}
{phang}{cmd:. regress consump wagegovt L.consump L2.consump}{p_end}
{phang}{cmd:. estat durbinalt, small lags(1/2)}{p_end}
{phang}{cmd:. estat bgodfrey, small lags(1/2)}{p_end}

{phang}{cmd:. regress consump wagegovt}{p_end}
{phang}{cmd:. estat archlm, lags(1 2 3)}{p_end}


{title:Also see}

{psee}Manual:  {hi:[R] regress postestimation time series}{p_end}

{psee}Online:  {helpb regress}, {help regress postestimation};{break}
{helpb tsset}
{p_end}