How to run Breusch-Godfrey test for multiple series

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Ingolstadt
Posts: 12
Joined: Tue Nov 04, 2008 10:09 am

How to run Breusch-Godfrey test for multiple series

Postby Ingolstadt » Tue Nov 04, 2008 10:23 am

Hi, i need help with the coding for the Breusch-Godfrey test in order to run it for multiple series.
I did the loop-coding for the regression, but I have no clue, how to fill the matrix with the results of the BG test, because I don't see any specific "@commands" for the single results (e.g. F-statistics). I can use the "auto(4)" command for a single regression, but not for multiple regressions in a loop,
which would require to put the results into my matrix

And I would also appreciate, if someone knows the coding for the p-value of an F-test. Since I did the White-test by simply coding the regression for the test. So I can fill the matrix (for multiple series again) with the values of the F-statistics, but I cannot find the solution for showing the F-Probability.

I appreciate any help, because I am rather a noob in maths/statistics.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11407
Joined: Tue Sep 16, 2008 5:38 pm

Re: How to run Breusch-Godfrey test for multiple series

Postby EViews Gareth » Tue Nov 04, 2008 10:34 am

Freeze the test results into a table, then grab the numbers you want from that table:

viewtopic.php?f=5&t=18
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Ingolstadt
Posts: 12
Joined: Tue Nov 04, 2008 10:09 am

Re: How to run Breusch-Godfrey test for multiple series

Postby Ingolstadt » Tue Nov 04, 2008 11:14 am

thx for your help, tough i don't undertstand. could you please explain it?
the point is, i can do:

freeze name-of-equation.auto(4)

but i cannot retrieve a value, to fill the matrix, e.g.
matrix(1, 1) = ******

because apparently, i cannot name the result. or at least i have no idea, how to retrieve it......i only get hundreds of regression tables for all the series.

i solved the p-value for the f-distribution. so, i won't need help for that.

Ingolstadt
Posts: 12
Joined: Tue Nov 04, 2008 10:09 am

Re: How to run Breusch-Godfrey test for multiple series

Postby Ingolstadt » Tue Nov 11, 2008 8:45 am

so there is no way, I can retrieve a result from the test e.g. the p-value and fill it in a matrix?
note: freezing the table results in a crash....too many windows open.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11407
Joined: Tue Sep 16, 2008 5:38 pm

Re: How to run Breusch-Godfrey test for multiple series

Postby EViews Gareth » Tue Nov 11, 2008 10:43 am

I'm not sure what you're doing that would cause too many windows to be open, but you can always delete the tables after you've used them
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