Grocer Function

NAME

arlm - Lagrange multiplier autocorrelation test

CALLING SEQUENCE

[resulbp]=arlm(resul1,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). Results are stored in a tlist and displayed on screen.

EXAMPLE

rbp=arlm(rols,4)

This 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