Name
test_spec0 — five specification tests
CALLING SEQUENCE
[v,p]=test_spec0(r)
PARAMETERS
- Input
r = a results tlist from a regression
- Output
v = (5x1) vector of statistics of specification tests
p = (5x1) vector of p-values of specification tests
DESCRIPTION
Provides the vectors of statistics values for 5 specification tests (2 Chow tests, the Doornik and Hansen normality test, the Breusch-Pagan autocorrelation test, the heteroscedasticity test) and their p-values
EXAMPLE
load('grocer/bdexamples/bdhenderic.dat') ; bounds('1964q3','1989q2') ; he=ols('del(lm1-lp)','del(lp)','del(lagts(1,lm1-lp-ly))','rnet','lagts(1,lm1-lp-ly)','cte'); [v,p]=test_spec0(he)
// Calculates the 5 specification tests and their p-values for Hendry and Ericsson's preferred model.