MISPAUTO: Stata module supporting discrimination between autocorrelation and misspecification

Merwan Roudane

Statistical Software Components from Boston College Department of Economics

Abstract: A significant Durbin-Watson statistic is consistent with at least four different states of the world -- no problem, AR(1) disturbances, non-AR(1) autocorrelation, or misspecification of the regression function -- and the appropriate responses are mutually incompatible.

Language: Stata
Requires: Stata version 14
Keywords: autocorrelation; misspecification; time series (search for similar items in EconPapers)
Date: 2026-10-10
Note: This module should be installed from within Stata by typing "ssc install mispauto". 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/m/mispauto.ado
http://fmwww.bc.edu/repec/bocode/m/mispauto.sthlp
http://fmwww.bc.edu/repec/bocode/m/mispauto_ghutton.sthlp
http://fmwww.bc.edu/repec/bocode/m/mispauto_godfrey.sthlp
http://fmwww.bc.edu/repec/bocode/m/mispauto_knottnerus.sthlp
http://fmwww.bc.edu/repec/bocode/m/mispauto_methods.sthlp
http://fmwww.bc.edu/repec/bocode/m/mispauto_postestimation.sthlp
http://fmwww.bc.edu/repec/bocode/m/mispauto_thursby.sthlp
http://fmwww.bc.edu/repec/bocode/m/mispauto_demo.do
http://fmwww.bc.edu/repec/bocode/m/mispauto_example.do

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