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BGTEST: Stata module to calculate Breusch-Godfrey test for serial correlation

Author

Listed:
  • Christopher F Baum

    (Boston College)

  • Vince Wiggins

    (Stata Corporation)

Programming Language

Stata

Abstract

bgtest computes the Breusch (1978)-Godfrey (1978) Lagrange multiplier test for nonindependence in the error distribution. For a specified number of lags p, the test's null of independent errors has alternatives of either AR(p) or MA(p). The test statistic, a T R^2 measure, is distributed Chi-squared(p) under the null hypothesis. The test is asymptotically equivalent to the Box- Pierce portmanteau test, or Q statistic (wntestq), for p lags, but unlike the Q statistic, the Breusch-Godfrey test is valid in the presence of stochastic regressors such as lagged values of the dependent variable. For p=1, the test is asymptotically equivalent to the Durbin-Watson 'h' statistic (durbinh), which may be considered a special case of the Breusch-Godfrey test statistic. This is version 1.03 of the software, updated from that published in STB-55 to zero-fill lagged residuals, altering the degrees of freedom in the auxiliary regression. The force option has been added to allow bgtest to be employed after regress, robust and newey. The test is built in to Stata 7 as "bgodfrey"; also see "bgodfrey2" which will work on a single timeseries of a panel.

Suggested Citation

  • Christopher F Baum & Vince Wiggins, 1999. "BGTEST: Stata module to calculate Breusch-Godfrey test for serial correlation," Statistical Software Components S387302, Boston College Department of Economics, revised 11 Aug 2002.
    • Handle: RePEc:boc:bocode:s387302
    Note: This module may be installed from within Stata by typing "ssc install bgtest". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/b/bgtest.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/b/bgtest.hlp
    File Function: help file
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