Dear all,
I ran the -actest- command to test for autocorrelation and below is my result:
How do I interpret the result above, and, if it tells me that there is autocorrelation, how many lags do I include?
I ran the -actest- command to test for autocorrelation and below is my result:
Code:
. actest, lags(20) Cumby-Huizinga test for autocorrelation (Breusch-Godfrey) H0: variable is MA process up to order q HA: serial correlation present at specified lags >q ----------------------------------------------------------------------------- H0: q=0 (serially uncorrelated) | H0: q=specified lag-1 HA: s.c. present at range specified | HA: s.c. present at lag specified -----------------------------------------+----------------------------------- lags | chi2 df p-val | lag | chi2 df p-val -----------+-----------------------------+-----+----------------------------- 1 - 1 | 276.493 1 0.0000 | 1 | 276.493 1 0.0000 1 - 2 | 305.429 2 0.0000 | 2 | 92.334 1 0.0000 1 - 3 | 365.152 3 0.0000 | 3 | 109.552 1 0.0000 1 - 4 | 391.180 4 0.0000 | 4 | 78.919 1 0.0000 1 - 5 | 422.513 5 0.0000 | 5 | 90.395 1 0.0000 1 - 6 | 434.675 6 0.0000 | 6 | 80.498 1 0.0000 1 - 7 | 437.740 7 0.0000 | 7 | 57.399 1 0.0000 1 - 8 | 437.864 8 0.0000 | 8 | 25.801 1 0.0000 1 - 9 | 440.781 9 0.0000 | 9 | 26.477 1 0.0000 1 - 10 | 441.528 10 0.0000 | 10 | 19.186 1 0.0000 1 - 11 | 446.536 11 0.0000 | 11 | 24.134 1 0.0000 1 - 12 | 446.605 12 0.0000 | 12 | 17.115 1 0.0000 1 - 13 | 449.874 13 0.0000 | 13 | 24.292 1 0.0000 1 - 14 | 454.015 14 0.0000 | 14 | 30.399 1 0.0000 1 - 15 | 454.054 15 0.0000 | 15 | 16.738 1 0.0000 1 - 16 | 455.875 16 0.0000 | 16 | 18.457 1 0.0000 1 - 17 | 458.628 17 0.0000 | 17 | 21.598 1 0.0000 1 - 18 | 458.731 18 0.0000 | 18 | 6.580 1 0.0103 1 - 19 | 461.106 19 0.0000 | 19 | 14.337 1 0.0002 1 - 20 | 461.108 20 0.0000 | 20 | 13.264 1 0.0003 ----------------------------------------------------------------------------- Test allows predetermined regressors/instruments Test requires conditional homoskedasticity
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