Grocer Function
NAME
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
[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