## Box-Pierce Test of autocorrelation in Panel Data using Stata.

The test of Box & Pierce was derived from the article “Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models” in the Journal of the American Statistical Association (Box & Pierce, 1970). The approach is used to test first-order serial correlation, the general form of the test is given the statistic as: Where […]

Box-Pierce Test of autocorrelation in Panel Data using Stata. Read More »