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hetero_sq0_multi

LM multivariate test of heteroskedasticity

CALLING SEQUENCE

[lmf,pvalue]=hetero_sq0_multi(res,np)

PARAMETERS

Input

* res = results tlist from a first stage estimation

* np = unused argument (but put here for compatibility with other testing functions)

 

Output

* lmf = value of the statistic

* pvalue = its p-value

DESCRIPTION

LM multivariate test of heteroskedasticity.

EXAMPLE

global GROCERDIR;
load(GROCERDIR+'/data/lutk1.dat')
bounds('1960q4','1978q4')
results=VAR(2,'endo=delts(log(rfa_inv));delts(log(rfa_inc));delts(log(rfa_cons))')
[lmf,pvalue]=hetero_sq0_multi(results)

AUTHOR

Eric Dubois 2013

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