Breusch-Godfrey Serial Correlation LM

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tg128
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Breusch-Godfrey Serial Correlation LM

Postby tg128 » Mon Sep 22, 2008 1:34 pm

how can I use the Breusch-Godfrey Serial Correlation LM test in EView 6, what do I suppose to put in the blank area please?

also for the ARCH LM test, what is WGTRESID? is that standarized residual or just squared error terms??

How can I make standarized residual series please?

EViews Gareth
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Postby EViews Gareth » Mon Sep 22, 2008 2:24 pm

Which "blank" area are you talking about? If you're using the Breusch-Goodfrey Serial Correlation LM Test from the menus, there is no "blank" area...

WGTRESID are the residuals, weighted by whatever weight series you used in the original equation.

tg128
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Joined: Mon Sep 22, 2008 1:10 pm

Postby tg128 » Tue Sep 23, 2008 8:39 am

QMS Gareth wrote:Which "blank" area are you talking about? If you're using the Breusch-Goodfrey Serial Correlation LM Test from the menus, there is no "blank" area...

WGTRESID are the residuals, weighted by whatever weight series you used in the original equation.


Sorry, I meant the Breusch-Pagan-Godfrey test...

EViews Gareth
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Postby EViews Gareth » Tue Sep 23, 2008 8:47 am

tg128 wrote:
QMS Gareth wrote:Which "blank" area are you talking about? If you're using the Breusch-Goodfrey Serial Correlation LM Test from the menus, there is no "blank" area...

WGTRESID are the residuals, weighted by whatever weight series you used in the original equation.


Sorry, I meant the Breusch-Pagan-Godfrey test...


Whichever regressors you wish to use in the auxiliary regression for the BPG Test. The standard, text-book, approach is to use the regressors from the original equation (and EViews usually adds those variables to that white box by default).

tg128
Posts: 18
Joined: Mon Sep 22, 2008 1:10 pm

thanks

Postby tg128 » Tue Sep 23, 2008 8:54 am

thanks


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