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arlm0

Lagrange multiplier autocorrelation test

CALLING SEQUENCE

[fstat,f_pvalue,r2]=arlm0(resulols,p,np)

PARAMETERS

Input

* 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)

 

Output

* fstat = value of the statistic

* f_pvalue = its p-value

DESCRIPTION

Computes a Lagrange multiplier autocorrelation test of order p (see Godfrey, L. G. (1978). Testing for higher order serial correlation in regression equations when the regressors include lagged dependent variables. Econometrica, 46, 1303-1313). Contrary to arlm, output does not take the form of a tlist, but of the Fisher test and its p value and nothing is printed.

EXAMPLE

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).

AUTHOR

Eric Dubois 2002

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