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

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  • Опубліковано 10 гру 2024

КОМЕНТАРІ • 18

  • @samwehmeyer4360
    @samwehmeyer4360 4 роки тому +3

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

    • @mikejonaseconometrics1886
      @mikejonaseconometrics1886  4 роки тому

      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
    @riobafelix3496 3 роки тому

    Thank you so much for your simplicity in explaining.

  • @joaoamorim3036
    @joaoamorim3036 4 роки тому +1

    Thanks Mike!!!!

  • @liangchengwengchen111
    @liangchengwengchen111 4 роки тому +1

    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
      @mikejonaseconometrics1886  4 роки тому +1

      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
      @liangchengwengchen111 4 роки тому +1

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

  • @ladydija3228
    @ladydija3228 2 роки тому

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

  • @mengyu5641
    @mengyu5641 2 роки тому

    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
      @mutkhaa Рік тому

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

  • @georgeaxiotidis2783
    @georgeaxiotidis2783 Рік тому

    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
    @succeedzikhali5696 3 роки тому

    Thank you

  • @ellis0245
    @ellis0245 2 роки тому

    Please is the data panel data or time series?

  • @armaosk
    @armaosk 5 років тому +1

    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?

  • @kevinli3769
    @kevinli3769 3 роки тому

    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
      @mikejonaseconometrics1886  3 роки тому

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

    • @kevinli3769
      @kevinli3769 3 роки тому

      @@mikejonaseconometrics1886 Thank you very much for quick response!