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". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
References: Add references at CitEc
Citations:

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)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().