Lagrange multiplier autocorrelation test
[resulbp]=arlm(resul1,p,np)
resul1 = results tlist from a first stage estimation
p = # of lag of residuals in the second stage estimation
np = 'noprint' if the user does not want to print the results
resulbp = results tlist with:
- resulbp('meth') = 'archtest'
- resulbp('resul1st') = resul1
- resulbp('f') = fstat
- resulbp('p') = p
- resulbp('df') = df
- resulbp('f_pvalue')=f_pvalue
load(GROCERDIR+'data/bdhenderic.dat'); bounds('1964q3','1989q2'); rols=ols('delts(lm1-lp)','delts(lp)','delts(lagts(1,lm1-lp-ly))','rnet', 'lagts(1,lm1-lp-ly)', 'const'); //performs ols for Hendry and Ericsson (1991) equation n° 6 rbp=arlm(rols,4) //Example is taken from hendryericsson. It provides the Lagrange multiplier autocorrelation test of order 4 for Hendry and Ericsson preferred equation, whose estimation result has been saved in tlist rols.