Hi, i need help with the coding for the BreuschGodfrey test in order to run it for multiple series.
I did the loopcoding 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. Fstatistics). 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 pvalue of an Ftest. Since I did the Whitetest by simply coding the regression for the test. So I can fill the matrix (for multiple series again) with the values of the Fstatistics, but I cannot find the solution for showing the FProbability.
I appreciate any help, because I am rather a noob in maths/statistics.
How to run BreuschGodfrey test for multiple series
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 Joined: Tue Nov 04, 2008 10:09 am

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 11735
 Joined: Tue Sep 16, 2008 5:38 pm
Re: How to run BreuschGodfrey test for multiple series
Freeze the test results into a table, then grab the numbers you want from that table:
viewtopic.php?f=5&t=18
viewtopic.php?f=5&t=18
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 Posts: 12
 Joined: Tue Nov 04, 2008 10:09 am
Re: How to run BreuschGodfrey test for multiple series
thx for your help, tough i don't undertstand. could you please explain it?
the point is, i can do:
freeze nameofequation.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 pvalue for the fdistribution. so, i won't need help for that.
the point is, i can do:
freeze nameofequation.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 pvalue for the fdistribution. so, i won't need help for that.

 Posts: 12
 Joined: Tue Nov 04, 2008 10:09 am
Re: How to run BreuschGodfrey test for multiple series
so there is no way, I can retrieve a result from the test e.g. the pvalue and fill it in a matrix?
note: freezing the table results in a crash....too many windows open.
note: freezing the table results in a crash....too many windows open.

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 11735
 Joined: Tue Sep 16, 2008 5:38 pm
Re: How to run BreuschGodfrey test for multiple series
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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