LM multivariate test of autocorrelation
[lmf,pvalue]=arlm0_multi(res,lags,np)
* res = results tlist from a first stage estimation
* lags = vector of lags of residuals in the second stage estimation
* np = unused argument (but put here for compatibility with other testing functions)
* lmf = value of the statistic
* pvalue = its p-value
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]=arlm0_multi(results,1:2) // test the autocorrelation at lags 1 and 2 [lmf,pvalue]=arlm0_multi(results,2) // test the autocorrelation at lag 2 only | ![]() | ![]() |