CUMPDGM.RPF

CUMPDGM.RPF is a short demonstration of the use of the @CUMPDGM procedure for doing Durbin's Cumulated Periodogram Test for serial correlation.

Full Program

calendar(q) 1947:1
open data haversample.rat
data(format=rats) 1947:1 2006:4 gdp
*
log gdp
diff gdp / diffgdp
diff(center) diffgdp
@cumpdgm diffgdp

Output

The null (of white noise) is very strongly rejected.

Cumulated Periodogram Test for Series DIFFGDP

Maximum Gap 0.3838

At Frequency 0.7854

Approximate Rejection Limits

1% 0.1441

5% 0.1202

10% 0.1078