BGTEST: Stata module to calculate Breusch-Godfrey 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: bgtest computes the Breusch (1978)-Godfrey (1978) Lagrange multiplier test for nonindependence in the error distribution. For a specified number of lags p, the test's null of independent errors has alternatives of either AR(p) or MA(p). The test statistic, a T R^2 measure, is distributed Chi-squared(p) under the null hypothesis. The test is asymptotically equivalent to the Box- Pierce portmanteau test, or Q statistic (wntestq), for p lags, but unlike the Q statistic, the Breusch-Godfrey test is valid in the presence of stochastic regressors such as lagged values of the dependent variable. For p=1, the test is asymptotically equivalent to the Durbin-Watson 'h' statistic (durbinh), which may be considered a special case of the Breusch-Godfrey test statistic. This is version 1.03 of the software, updated from that published in STB-55 to zero-fill lagged residuals, altering the degrees of freedom in the auxiliary regression. The force option has been added to allow bgtest to be employed after regress, robust and newey. The test is built in to Stata 7 as "bgodfrey"; also see "bgodfrey2" 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: 1999-08-23, Revised 2002-08-11
Note: This module may be installed from within Stata by typing "ssc install bgtest". Windows users should not attempt to download these files with a web browser.

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

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s387302

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