st: re: running simple autocorrelation regressions using

classic Classic list List threaded Threaded
1 message Options
Reply | Threaded
Open this post in threaded view

st: re: running simple autocorrelation regressions using

Christopher F Baum
< >
Richard said

. which whitetst
*! whitetst 1.2.3 CFB/NJC  17 Feb 2002 add fitted option for special
form of test

According to the help,

"Alternatively, a special form of the test, described by Wooldridge
(2000, pp. 259-260), may be employed by specifying the fitted option.
In this form, the predicted values from the original regression and
their squares are used in place of the individual regressors, their
squares, and
their cross-products. This form of the test imposes constraints on
the auxiliary regression, but may be a very attractive alternative if
the original regressor list is lengthy."

Note that the behavior of -whitetst, fitted- is available from -estat  
hettest- :

webuse nlswork, clear
reg ln_wage age race grade if year==68
predict yhat, xb
g yh2 = yhat^2
estat hettest yhat yh2, iid
whitetst, fitted

Martin suggests that the ordering of -findit- results is confusing.  
This has been repeatedly discussed on the list. -findit- will return  
"official" citations to Stata Journal and Stata Technical Bulletin  
before unofficial ones to SSC, user sites, etc. There is no way for  
Stata to know whether the contents of -sg137- are earlier or later  
than those of SSC package -whitetst-. The sort of "make" logic does  
not work here, as the material accompanying a Stata Journal article  
may indeed map into several SSC packages, and some of those packages  
may contain updates that supersede the published version. The Stata  
Journal encourages Software Updates to rectify that, but it is still  
the case that -findit- references to SJ are not to the latest version  
of the software, given a quarterly publication schedule.  It is also  
SJ policy that the contents of an electronic supplement to a given  
issue are never updated after publication.

Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:

*   For searches and help try: