Lagrange multiplier autocorrelation test
[fstat,f_pvalue,r2]=arlm0(resulols,p,np)
* resul1 = results tlist from a first stage estimation
* p = # of lag of residuals in the second stage estimation
* np = unused argument (but put here for compatibility with other testing functions)
* fstat = value of the statistic
* f_pvalue = its p-value
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'); [fstat,f_pvalue,r2]=arlm0(rols,4) // Useful mainly for programming purpose (since arlm does much more). | ![]() | ![]() |