Testing for Autocorrelation in Stata Pt. 2: The Breusch-Godfrey Test

The intuition, execution, and interpretation of the Breusch-Godfrey Autocorrelation Test in Stata.
Part 1: • Stata Tutorial: Testin...
Testing for stationarity: • Stata Tutorial: Basic ...
Link to "Gentle Introduction to Stata"
www.amazon.com...
Link to the excellent Introduction to Econometrics Textbook by AH Studenmund:
www.amazon.com...
Link to Jeffrey Wooldridge Introductory Econometrics Textbook:
www.amazon.com...

[@samwehmeyer4360]

Hi Mike, this is one of the most useful channels on youtube. Thanks for all these great videos!

[@mikejonaseconometrics1886]

Thank you! I’m very glad the videos are helpful, and please let me know if there are specific topics you’d like covered.

[@riobafelix3496]

Thank you so much for your simplicity in explaining.

[@liangchengwengchen111]

Hi Mike, Thank you for the great video! I would love to see a video based on stationary since you mentioned it in this video. Cheers !!

[@mikejonaseconometrics1886]

Thanks! Here is a link to my tutorial on testing for a unit root, or a non-stationary series: ua-cam.com/video/8aR7tOuHQmw/v-deo.html
please let me know if there is something more specific that would be helpful.

[@liangchengwengchen111]

@@mikejonaseconometrics1886 Thank you again! I finished watching the video few minutes ago. Your content is great! keep it up! Subbed and liked the videos !

[@joaoamorim3036]

Thanks Mike!!!!

[@armaosk]

Hi, Mike, thank you for this video. May I ask why in the table of the chi-square distribution you look at the line with 2 degrees of freedom? If I understand correctly, we should have df=248-1-1 = 246. Have I understood sth wrongly here?

[@ladydija3228]

Thank you so much for your videos, please how can we run the wald test in stata ?

[@kevinli3769]

Hey, Mike. Brilliant video!
Is there any peculiar reason you used volume as an explanatory variable? If not, would it be ok to add a time trend variable instead as the explanatory variable?

[@mikejonaseconometrics1886]

Yes, a time trend would be a good choice. The specification I used was only as an example.

[@kevinli3769]

@@mikejonaseconometrics1886 Thank you very much for quick response!

[@mengyu5641]

Really great lecture! Thank you so much! But my question is how to do Godfrey post estimation for panel data regression? Stata says "estat bgodfrey not valid" for panel data. Thank you in advance!

[@mutkhaa]

did you get any solution for your question? I am having same issue...

[@georgeaxiotidis2783]

Hello Mike, I do the exact same procedure with you (the econometrics professor is also suggesting the same method but when I run the command I get an error. I apply it to panel data after fixed effects estimator and I get
predict uhat, resid
(224 missing values generated)
. reg uhat l.uhat EONIA_RATE LTD CISS CLIF Dummy l_allotment l_eoniavol
no observations
Any idea why might that happen? I address it to anyone who could help. Is it because of the estimator and the panel data form? How can I solve this?

[@succeedzikhali5696]

Thank you

[@ellis0245]

Please is the data panel data or time series?

[@mikejonaseconometrics1886]

This example is for time series only.