Options for estat bgodfrey

These commands provide regression diagnostic tools specific to time series. You must tsset your data before using these commands; see [TS] tsset. estat archlm tests for time-dependent volatility. estat bgodfrey, estat durbinalt, and estat dwatson test for serial correlation in the residuals of a linear regression. For non-time-series regression diagnostic tools, see [R] regress postestimation. estat archlm performs Engle’s Lagrange multiplier (LM) test for the presence of autoregressive conditional heteroskedasticity. estat bgodfrey performs the Breusch–Godfrey test for higher-order serial correlation in the disturbance. This test does not require that all the regressors be strictly exogenous. estat durbinalt performs Durbin’s alternative test for serial correlation in the disturbance. This test does not require that all the regressors be strictly exogenous. estat dwatson computes the Durbin–Watson d statistic (Durbin and Watson 1950) to test for first-order serial correlation in the disturbance when all the regressors are strictly exogenous.