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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.

AUTHOR

Eric Dubois 2002

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