Grocer Function

NAME

arlm0 - Lagrange multiplier autocorrelation test

CALLING SEQUENCE

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

PARAMETERS

Input

Output

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

[fstat,f_pvalue,r2]=arlm0(resul1,p)

This example is taken from arlm. Useful mainly for programming purpose (since arlm does much more).

AUTHOR

Eric Dubois 2002