I'm struggling to find a robust way to compare the autocorrelations of two earnings surprise measurements, one being seasonal random walk (srw) error and other forecast error. I know they both are autocorrelated and that srw errors are probably more autocorrelated than forecast errors (by using corr and reg commands with srw_error / forecast error as dependent and 4 lags as independent variables), but I need a statistical test to compare those autocorrelations directly. I wasn't able to make Breusch-Godfrey test work.
My data looks as follows (for forecast errors it's the same).
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input str8 ticker double date float(srw_error srw_error_lag srw_error_lag2 srw_error_lag3 srw_error_lag4) "A" 14658 . . . . . "A" 14746 . . . . . "A" 14839 . . . . . "A" 14934 . . . . . "A" 16481 -.0013039935 . . . . "A" 16572 -.0014159292 -.0013039935 . . . "A" 16663 -.001526232 -.0014159292 -.0013039935 . . "A" 16754 -.003549921 -.001526232 -.0014159292 -.0013039935 . "A" 16845 .005345211 -.003549921 -.001526232 -.0014159292 -.0013039935 "A" 16936 .009302326 .005345211 -.003549921 -.001526232 -.0014159292 "A" 17027 .006957866 .009302326 .005345211 -.003549921 -.001526232 "A" 17119 .004268293 .006957866 .009302326 .005345211 -.003549921 "A" 17212 .0020390328 .004268293 .006957866 .009302326 .005345211 "A" 17300 .0007662835 .0020390328 .004268293 .006957866 .009302326 "A" 17392 .0007130125 .0007662835 .0020390328 .004268293 .006957866 "A" 17485 .0002938584 .0007130125 .0007662835 .0020390328 .004268293 "A" 17666 .003684372 .0002938584 .0007130125 .0007662835 .0020390328 "A" 17758 .002702703 .003684372 .0002938584 .0007130125 .0007662835 "A" 17850 .003654398 .002702703 .003684372 .0002938584 .0007130125 "A" 17945 -.009404388 .003654398 .002702703 .003684372 .0002938584 "A" 18031 -.011942175 -.009404388 .003654398 .002702703 .003684372 "A" 18126 -.01037118 -.011942175 -.009404388 .003654398 .002702703 "A" 18214 -.013999066 -.01037118 -.011942175 -.009404388 .003654398 "A" 18305 .009326425 -.013999066 -.01037118 -.011942175 -.009404388 "A" 18399 .015600624 .009326425 -.013999066 -.01037118 -.011942175 "A" 18490 .016434893 .015600624 .009326425 -.013999066 -.01037118 "A" 18578 .012629163 .016434893 .015600624 .009326425 -.013999066 "A" 18672 .00756794 .012629163 .016434893 .015600624 .009326425 "A" 18760 .009727016 .00756794 .012629163 .016434893 .015600624 "A" 18854 .008005569 .009727016 .00756794 .012629163 .016434893 "A" 18946 .005279244 .008005569 .009727016 .00756794 .012629163 "A" 19038 .00209351 .005279244 .008005569 .009727016 .00756794 "A" 19127 .0008135042 .00209351 .005279244 .008005569 .009727016 "A" 19220 .0005465974 .0008135042 .00209351 .005279244 .008005569 "A" 19316 .0005299417 .0005465974 .0008135042 .00209351 .005279244 "A" 19403 -.0013452915 .0005299417 .0005465974 .0008135042 .00209351 "A" 19492 -.000243843 -.0013452915 .0005299417 .0005465974 .0008135042 "A" 19584 -.002732919 -.000243843 -.0013452915 .0005299417 .0005465974 "A" 19676 -.0013546464 -.002732919 -.000243843 -.0013452915 .0005299417 "A" 19767 .0008871147 -.0013546464 -.002732919 -.000243843 -.0013452915 "A" 19857 -.0011904762 .0008871147 -.0013546464 -.002732919 -.000243843 "A" 19949 .0021701388 -.0011904762 .0008871147 -.0013546464 -.002732919 "A" 20044 .0013714733 .0021701388 -.0011904762 .0008871147 -.0013546464 "AAI" 16461 . . . . . "AAI" 16643 . . . . . "AAI" 16736 . . . . . "AAI" 16826 . . . . . "AAI" 16918 -.011641444 . . . . "AAI" 17009 .02 -.011641444 . . . "AAI" 17100 -.003548616 .02 -.011641444 . . "AAI" 17192 -.0029006526 -.003548616 .02 -.011641444 . "AAI" 17281 .008614977 -.0029006526 -.003548616 .02 -.011641444 "AAI" 17373 .0028797695 .008614977 -.0029006526 -.003548616 .02 "AAI" 17828 -.04528302 .0028797695 .008614977 -.0029006526 -.003548616 "AAI" 18009 .01988401 -.04528302 .0028797695 .008614977 -.0029006526 "AAI" 18100 .02624894 .01988401 -.04528302 .0028797695 .008614977 "AAI" 18191 -.027884616 .02624894 .01988401 -.04528302 .0028797695 "AAI" 18289 .13653846 -.027884616 .02624894 .01988401 -.04528302 "AAI" 18373 -.0608365 .13653846 -.027884616 .02624894 .01988401 "AAI" 18464 -.01710731 -.0608365 .13653846 -.027884616 .02624894 "AAL" 13258 . . . . . "AAL" 19751 . . . . . "AAL" 19837 . . . . . "AAL" 19928 . . . . . "AAL" 20019 .08 . . . . "AAN" 18742 . . . . . "AAN" 18833 . . . . . "AAN" 18924 . . . . . "AAN" 19291 . . . . . "AAN" 19473 .004711425 . . . . "AAN" 19563 .003265602 .004711425 . . . "AAN" 19655 .0014566643 .003265602 .004711425 . . "AAN" 19761 -.005710207 .0014566643 .003265602 .004711425 . "AAN" 19838 -.004991088 -.005710207 .0014566643 .003265602 .004711425 "AAN" 19929 -.0045107566 -.004991088 -.005710207 .0014566643 .003265602 "AAN" 20020 -.000349162 -.0045107566 -.004991088 -.005710207 .0014566643 "AAP" 16483 . . . . . "AAP" 16574 . . . . . "AAP" 16659 . . . . . "AAP" 16743 . . . . . "AAP" 16939 .008269827 . . . . "AAP" 17023 -.0006742605 .008269827 . . . "AAP" 17107 -.00056385674 -.0006742605 .008269827 . . "AAP" 17212 -.006024096 -.00056385674 -.0006742605 .008269827 . "AAP" 17302 .0007392804 -.006024096 -.00056385674 -.0006742605 .008269827 "AAP" 17386 .0016545334 .0007392804 -.006024096 -.00056385674 -.0006742605 "AAP" 17470 .0014208582 .0016545334 .0007392804 -.006024096 -.00056385674 "AAP" 17667 .013827289 .0014208582 .0016545334 .0007392804 -.006024096 "AAP" 17750 .0019161677 .013827289 .0014208582 .0016545334 .0007392804 "AAP" 17834 -.0014380213 .0019161677 .013827289 .0014208582 .0016545334 "AAP" 17946 -.003139717 -.0014380213 .0019161677 .013827289 .0014208582 "AAP" 18037 .004735128 -.003139717 -.0014380213 .0019161677 .013827289 "AAP" 18121 .002391772 .004735128 -.003139717 -.0014380213 .0019161677 "AAP" 18212 .003448276 .002391772 .004735128 -.003139717 -.0014380213 "AAP" 18310 -.00350365 .003448276 .002391772 .004735128 -.003139717 "AAP" 18401 .0042047985 -.00350365 .003448276 .002391772 .004735128 "AAP" 18485 .005939288 .0042047985 -.00350365 .003448276 .002391772 "AAP" 18576 .008822002 .005939288 .0042047985 -.00350365 .003448276 "AAP" 18667 .0044106836 .008822002 .005939288 .0042047985 -.00350365 "AAP" 18765 .003523453 .0044106836 .008822002 .005939288 .0042047985 end format %d date
Kind regards,
Frank
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