DURBINH: Stata module to calculate Durbin's h test for serial correlation

Christopher Baum () and Vince Wiggins ()
Additional contact information
Vince Wiggins: Stata Corporation

Statistical Software Components from Boston College Department of Economics

Abstract: In the presence of lagged dependent variables, the Durbin-Watson statistic and Box-Pierce Q statistics are not appropriate tests for serial correlation in the errors. Durbin's h statistic may be used in this context. An asymptotically equivalent variant of Durbin's h statistic is computed by this command. This is version 1.04 of the software, updated from that published in STB-55. The force option has been added to allow durbinh to be employed after regress, robust and newey. The test is built in to Stata 8 as "durbina"; also see "durbina2" which will work on a single timeseries of a panel.

Language: Stata
Requires: Stata version 6.0
Keywords: time-series data; autocorrelation (search for similar items in EconPapers)
Date: 1999-08-12, Revised 2002-08-11
Note: This module may be installed from within Stata by typing "ssc install durbinh". Windows users should not attempt to download these files with a web browser.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/d/durbinh.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/d/durbinh.hlp help file (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s387301

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