ACTEST: Stata module to perform Cumby-Huizinga general test for autocorrelation in time series
ACTEST: Stata module to perform Cumby-Huizinga general test for autocorrelation in time series
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ACTEST：Stata 模块，用于执行时间序列自相关的 Cumby-Huizinga 一般测试
DOI：
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发表时间：
2015
期刊：
影响因子：
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通讯作者：
M. Schaffer
中科院分区：
文献类型：
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作者：
Christopher F. Baum;M. Schaffer
ACTEST对Cumby和Huizinga(1990,1992)提出的时间序列进行序列相关性的一般规范检验。它可以应用于单变量时间序列，也可以作为OLS或工具变量(IV)估计之后的后估计命令。检验的零假设是时间序列是已知阶Q的移动平均值，它可以是零也可以是正值。检验考虑了一般的替代方案，即时间序列的自相关性在滞后大于Q时为非零。该检验足够普遍，以检验时间序列没有序列相关性的假设(Q=0)或时间序列中存在序列相关性但在已知的有限滞后时消失的零假设(Q>；0)。
actest performs the general specification test of serial correlation in a time series proposed by Cumby and Huizinga (1990, 1992). It can be applied to a univariate time series or as a postestimation command after OLS or instrumental variables (IV) estimation. The null hypothesis of the test is that the time series is a moving average of known order q, which could be zero or a positive value. The test considers the general alternative that autocorrelations of the time series are nonzero at lags greater than q. The test is general enough to test the hypothesis that the time series has no serial correlation (q=0) or the null hypothesis that serial correlation in the time series exists, but dies out at a known finite lag (q>0).