Time Series - Data and Statistical Services - Princeton University
Time Series - Data and Statistical Services - Princeton University
Time Series - Data and Statistical Services - Princeton University
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White noise refers to the fact that a variable does not have autocorrelation. In Stata use the<br />
wntestq (white noise Q test) to check for autocorrelation. The null is that there is no serial<br />
correlation (type help wntestq for more details):<br />
. wntestq unemp<br />
Portmanteau test for white noise<br />
Portmanteau (Q) statistic = 1044.6341<br />
Prob > chi2(40) = 0.0000<br />
. wntestq unemp, lags(10)<br />
Portmanteau test for white noise<br />
Portmanteau (Q) statistic = 901.1399<br />
Prob > chi2(10) = 0.0000<br />
<strong>Time</strong> <strong>Series</strong>: white noise<br />
Serial correlation<br />
If your variable is not white noise then see the page on correlograms to see the order of the<br />
autocorrelation.<br />
28<br />
PU/DSS/OTR
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