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Lagrange multiplier test serial correlation stata
Lagrange multiplier test serial correlation stata








lagrange multiplier test serial correlation stata

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. You can help adding them by using this form. We have no bibliographic references for this item. It also allows you to accept potential citations to this item that we are uncertain about. This allows to link your profile to this item. If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. See general information about how to correct material in RePEc.įor technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact. When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s387302. You can help correct errors and omissions. Suggested CitationĪll material on this site has been provided by the respective publishers and authors. The test is built in to Stata 7 as "bgodfrey" also see "bgodfrey2" which will work on a single timeseries of a panel. The force option has been added to allow bgtest to be employed after regress, robust and newey. This is version 1.03 of the software, updated from that published in STB-55 to zero-fill lagged residuals, altering the degrees of freedom in the auxiliary regression. For p=1, the test is asymptotically equivalent to the Durbin-Watson 'h' statistic (durbinh), which may be considered a special case of the Breusch-Godfrey test statistic. The test is asymptotically equivalent to the Box- Pierce portmanteau test, or Q statistic (wntestq), for p lags, but unlike the Q statistic, the Breusch-Godfrey test is valid in the presence of stochastic regressors such as lagged values of the dependent variable. The test statistic, a T R^2 measure, is distributed Chi-squared(p) under the null hypothesis. For a specified number of lags p, the test's null of independent errors has alternatives of either AR(p) or MA(p). Bgtest computes the Breusch (1978)-Godfrey (1978) Lagrange multiplier test for nonindependence in the error distribution.










Lagrange multiplier test serial correlation stata