JOINTDIAG: Stata module to perform joint and simultaneous diagnostic tests for time-series models

Merwan Roudane

Statistical Software Components from Boston College Department of Economics

Abstract: The diagnostic tests in routine use -- Jarque-Bera, Breusch-Pagan, Breusch-Godfrey, RESET, Engle's ARCH LM -- each test one departure from the classical assumptions while assuming the remaining assumptions hold. Bera and Jarque (1982) named the two consequences: undertesting (a significant AR statistic that is really a misspecified functional form) and overtesting (four separate 5% tests whose true joint size is nearer 20%). jointdiag implements the literature that addresses this. It provides eleven subcommands of tests that either detect several misspecifications simultaneously, or remain valid in the presence of the misspecification not currently being tested.

Language: Stata
Requires: Stata version 14
Keywords: time series; joint tests; diagnostics (search for similar items in EconPapers)
Date: 2026-10-05
Note: This module should be installed from within Stata by typing "ssc install jointdiag". 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.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/j/jointdiag.ado
http://fmwww.bc.edu/repec/bocode/j/jointdiag.sthlp
http://fmwww.bc.edu/repec/bocode/j/jointdiag_all.ado
http://fmwww.bc.edu/repec/bocode/j/jointdiag_all.sthlp
http://fmwww.bc.edu/repec/bocode/j/jointdiag_arch.ado
http://fmwww.bc.edu/repec/bocode/j/jointdiag_arch.sthlp
http://fmwww.bc.edu/repec/bocode/j/jointdiag_bc.ado
http://fmwww.bc.edu/repec/bocode/j/jointdiag_bc.sthlp
http://fmwww.bc.edu/repec/bocode/j/jointdiag_bilinear.ado
http://fmwww.bc.edu/repec/bocode/j/jointdiag_bilinear.sthlp
http://fmwww.bc.edu/repec/bocode/j/jointdiag_example.do
http://fmwww.bc.edu/repec/bocode/j/jointdiag_im.ado
http://fmwww.bc.edu/repec/bocode/j/jointdiag_im.sthlp
http://fmwww.bc.edu/repec/bocode/j/jointdiag_lm.ado
http://fmwww.bc.edu/repec/bocode/j/jointdiag_lm.sthlp
http://fmwww.bc.edu/repec/bocode/j/jointdiag_mata.do
http://fmwww.bc.edu/repec/bocode/j/jointdiag_methods.sthlp
http://fmwww.bc.edu/repec/bocode/j/jointdiag_mpi.ado
http://fmwww.bc.edu/repec/bocode/j/jointdiag_mpi.sthlp
http://fmwww.bc.edu/repec/bocode/j/jointdiag_nonnest.ado
http://fmwww.bc.edu/repec/bocode/j/jointdiag_nonnest.sthlp
http://fmwww.bc.edu/repec/bocode/j/jointdiag_port.ado
http://fmwww.bc.edu/repec/bocode/j/jointdiag_port.sthlp
http://fmwww.bc.edu/repec/bocode/j/jointdiag_postestimation.sthlp
http://fmwww.bc.edu/repec/bocode/j/jointdiag_score.ado
http://fmwww.bc.edu/repec/bocode/j/jointdiag_score.sthlp
http://fmwww.bc.edu/repec/bocode/j/jointdiag_spec.ado
http://fmwww.bc.edu/repec/bocode/j/jointdiag_spec.sthlp
http://fmwww.bc.edu/repec/bocode/_/_jd_coln.ado
http://fmwww.bc.edu/repec/bocode/_/_jd_efetch.ado
http://fmwww.bc.edu/repec/bocode/_/_jd_foot.ado
http://fmwww.bc.edu/repec/bocode/_/_jd_gstyle.ado
http://fmwww.bc.edu/repec/bocode/_/_jd_head.ado
http://fmwww.bc.edu/repec/bocode/_/_jd_parse.ado
http://fmwww.bc.edu/repec/bocode/_/_jd_row.ado
http://fmwww.bc.edu/repec/bocode/_/_jd_stars.ado
http://fmwww.bc.edu/repec/bocode/l/ljointdiag.mlib

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