As per PRJ https://estima.com/ratshelp/index.html?prjinstruction.html, to calculate standardized residuals after a LINREG is

- Code: Select all
`prj(xvx=px)`

set stdresids = resids/sqrt(%seesq*(1-px))

graph(style=symbols,vlabel="Standardized Residual")

# stdresids

I can get identical results via

- Code: Select all
`stats resids`

set stdresids_2 = (resids - %mean) / sqrt(%variance)

prin / stdresids stdresids_2

However, sometimes after a BOXJENK, the former PRJ technique results in NA's, whereas the latter doesn't. Why?

Standardized residuals make it easier to view outliers:

(a) Should there be a comparison of both residuals and standardized residuals after a LINREG or BOXJENK via plots: line graph, histogram, acf & pacf, or just the standardized residuals?

(b) Are the standard diagnostic tests after a LINREG e.g. for heteroskedasticity (Breusch-Pagan-Godfrey, White's), autocorrelation (Durbin's H, Breusch-Godfrey), also valid after a BOXJENK, and if not, why not?

Cheers,

Amarjit