Grocer Function
NAME
test_spec0 - five specification tests
CALLING SEQUENCE
[v,p]=test_spec0(r)
PARAMETERS
Input
-
r = a results tlist from a regression
Output
-
v = (5x1) vector of statistics of specification tests
-
p = (5x1) vector of p-values of specification tests
DESCRIPTION
Provides the vectors of statistics values for 5 specification tests (2 Chow tests, the Doornik and Hansen normality test, the Breusch-Pagan autocorrelation test, the heteroscedasticity test) and their p-values
EXAMPLES
1) load('grocer/bdexamples/bdhenderic.dat') ; bounds('1964q3','1989q2') ; he=ols('del(lm1-lp)','del(lp)','del(lagts(1,lm1-lp-ly))','rnet','lagts(1,lm1-lp-ly)','cte'); [v,p]=test_spec0(he)
2) [val,p]=test_func(r1_00)
Example 1 calculates the 5 specification tests and their p-values for Hendry and Ericsson's preferred model. Example 2 is taken from automatic.
AUTHOR
Eric Dubois 2002