Stata9.0

estat dwatson

Examples

. use http://www.stata-press.com/data/r9/klein . tsset yr . regress consump wagegovt . estat dwatson . estat durbinalt, small . regress consump wagegovt L.consump L2.consump . estat durbinalt, small lags(1/2) . estat bgodfrey, small lags(1/2)

. regress consump wagegovt . estat archlm, lags(1 2 3)

Stata 8.0中可以不加estat

xiexie

谢谢

Stata help for regress postestimationts

 help regress postestimation ts dialog: estat also see: regress regress postestimation ------------------------------------------------------------------------------- 
 Title 
 [R] regress postestimation time series -- Postestimation tools for regress with time series 
 
 Description 
 The following postestimation commands for time series are available after 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 regress postestimation. 
 estat archlm performs Engle's LM 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, 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, robust. The command will not work if the cluster 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 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. This option may not be specified with robust, which always uses an F or t 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 using the F or t distribution force allow test after regress, 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, robust and after newey. The command will not work if the cluster option is specified with regress. 
 
 Syntax for estat dwatson 
 estat dwatson 
 
 Examples 
 . use http://www.stata-press.com/data/r9/klein . tsset yr . regress consump wagegovt . estat dwatson . estat durbinalt, small . regress consump wagegovt L.consump L2.consump . estat durbinalt, small lags(1/2) . estat bgodfrey, small lags(1/2) 
 . regress consump wagegovt . estat archlm, lags(1 2 3) 
 
 Also see 
 Manual: [R] regress postestimation time series 
 Online: regress, regress postestimation; tsset