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arlm

Lagrange multiplier autocorrelation test

CALLING SEQUENCE

[resulbp]=arlm(resul1,p,np)

PARAMETERS

Input

* resul1 = results tlist from a first stage estimation

* p = # of lag of residuals in the second stage estimation

* np = 'noprint' if the user does not want to print the results

 

Output

* resulbp = results tlist with:

  - resulbp('meth') = 'archtest'

  - resulbp('resul1st') = resul1

  - resulbp('f') = fstat

  - resulbp('p') = p

  - resulbp('df') = df

  - resulbp('f_pvalue')=f_pvalue

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). Results are stored in a tlist and displayed on screen.

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');
// performs ols for Hendry and Ericsson (1991) equation 6
 
rbp=arlm(rols,4)
// Example is taken from hendryericsson. It provides the Lagrange multiplier autocorrelation test of order 4
// for Hendry and Ericsson preferred equation, whose estimation result has been saved in tlist rols.

AUTHOR

Eric Dubois 2002

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