Breusch Godfrey LM test

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Breusch Godfrey LM test

Postby J&P masters » Sat Apr 30, 2016 2:03 am

Hi!

We analyze a weekly dataset. We have an ADL (or ARDL) model with one lagged dependent and independent variable.
We want to test for autocorrelation. The Breusch Godfrey LM test requires as to choose a number of lags. But we are not sure about how many lags we should select.
We always thought that we should select one lag since our model only has one lagged dependent and independent variable. But in an econometrics book we read, that one must choose the number of lags based on the dataset, if one had a quarterly or monthly dataset, the book say that we should select 4 or 12 lags. We are now confused about how many lags we have to choose. Can anyone help us?

We appreciate any help we can get!

Kind regards
Eager students

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