help regress postestimation ts                                                    dialog:  estat                 
                                                                                also see:  regress               
                                                                                           regress postestimation
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Title

    [R] regress postestimation time series -- Postestimation tools for regress with time series


Description

    The following postestimation commands for time series are available for regress:


    command              description
    -----------------------------------------------------------------------------------------------------------
    estat archlm         test for ARCH effects in the residuals
    estat bgodfrey       Breusch-Godfrey test for higher-order serial correlation
    estat durbinalt      Durbin's alternative test for serial correlation
    estat dwatson        Durbin-Watson d statistic to test for first-order serial correlation
    -----------------------------------------------------------------------------------------------------------


Special-interest postestimation commands

    These commands provide regression diagnostic tools specific to time series.  You must tsset your data
    before using these commands.

    estat archlm tests for time-dependent volatility.  estat dwatson, estat durbinalt, and estat bgodfrey test
    for serial correlation in the residuals of a linear regression.  For non-time-series regression diagnostic
    tools, see [R] regress postestimation.

    estat archlm performs Engle's Lagrange multiplier test for the presence of autoregressive conditional
    heteroskedasticity.

    estat bgodfrey performs the Breusch-Godfrey test for higher-order serial correlation in the disturbance.
    This test does not require that all the regressors be strictly exogenous.

    estat durbinalt performs Durbin's alternative test for serial correlation in the disturbance.  This test
    does not require that all the regressors be strictly exogenous.

    estat dwatson computes the Durbin-Watson d statistic to test for first-order serial correlation in the
    disturbance when all the regressors are strictly exogenous.


Syntax for estat archlm

        estat archlm [, archlm_options]


    archlm_options    description
    -----------------------------------------------------------------------------------------------------------
    lags(numlist)     test numlist lag order
    force             allow test after regress, vce(robust)
    -----------------------------------------------------------------------------------------------------------


Options for estat archlm

    lags(numlist) specifies a list of numbers, indicating the lag orders to be tested.  The test will be
        performed separately for each order.  The default is order one.

    force allows the test to be run after regress, vce(robust).  The command will not work if the vce(cluster
        clustvar) option is specified with regress.


Syntax for estat bgodfrey

        estat bgodfrey [, bgodfrey_options]


    bgodfrey_options     description
    -----------------------------------------------------------------------------------------------------------
    lags(numlist)        test numlist lag orders
    nomiss0              do not use Davidson and MacKinnon's approach
    small                obtain p-values by using F for t distribution
    -----------------------------------------------------------------------------------------------------------


Options for estat bgodfrey

    lags(numlist) specifies a list of numbers, indicating the lag orders to be tested.  The test will be
        performed separately for each order.  The default is order one.

    nomiss0 specifies that Davidson and MacKinnon's approach, which replaces the missing values in the initial
        observations on the lagged residuals in the auxiliary regression with zeros, not be used.

    small specifies that the p-values of the test statistics be obtained using the F or t distribution instead
        of the default chi-squared or normal distribution.


Syntax for estat durbinalt

        estat durbinalt [, durbinalt_options]


    durbinalt_options      description
    -----------------------------------------------------------------------------------------------------------
    lags(numlist)          test numlist lag orders
    nomiss0                do not use Davidson and MacKinnon's approach
    robust                 compute standard errors using the robust/sandwich estimator
    small                  obtain p-values by using the F or t distribution
    force                  allow test after regress, vce(robust) or newey
    -----------------------------------------------------------------------------------------------------------


Options for estat durbinalt

    lags(numlist) specifies a list of numbers, indicating the lag orders to be tested.  The test will be
        performed separately for each order.  The default is order one.

    nomiss0 specifies that Davidson and MacKinnon's approach, which replaces the missing values in the initial
        observations on the lagged residuals in the auxiliary regression with zeros, not be used.

    robust specifies that the Huber/White/sandwich robust estimator for the variance-covariance matrix be used
        in Durbin's alternative test.

    small specifies that the p-values of the test statistics be obtained using the F or t distribution instead
        of the default chi-squared or normal distribution.  This option may not be specified with robust, which
        always uses an F or t distribution.

    force allows the test to be run after regress, vce(robust) and after newey.  The command will not work if
        the vce(cluster clustvar) option is specified with regress.


Syntax for estat dwatson

        estat dwatson


Examples

    -------------------------------------------------------------------------------------------------------------
    . webuse klein
    . tsset yr
    . regress consump wagegovt
    . estat dwatson
    . estat durbinalt, small
    -------------------------------------------------------------------------------------------------------------
    . webuse klein
    . tsset yr
    . regress consump wagegovt L.consump L2.consump
    . estat durbinalt, small lags(1/2)
    . estat bgodfrey, small lags(1/2)
    -------------------------------------------------------------------------------------------------------------
    . webuse klein
    . tsset yr
    . regress consump wagegovt
    . estat archlm, lags(1 2 3)
    -----------------------------------------------------------

非常感谢
^-^