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arlm0_multi

LM multivariate test of autocorrelation

CALLING SEQUENCE

[lmf,pvalue]=arlm0_multi(res,lags,np)

PARAMETERS

Input

* 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)

 

Output

* lmf = value of the statistic

* pvalue = its p-value

DESCRIPTION

Performs a LM multivariate test of autocorrelation.

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]=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

AUTHOR

Eric Dubois 2013

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