How to run Breusch-Godfrey test for multiple series
Posted: 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.
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.