Calculating the Serial Correlation LM Test Statistics

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

eviewsuser10
Posts: 16
Joined: Thu Oct 15, 2020 3:27 am

Calculating the Serial Correlation LM Test Statistics

Postby eviewsuser10 » Mon Dec 13, 2021 5:30 pm

Hello,

I am using GARCH models. However, there is no built-in Lagrange multiplier (LM) tests in EViews 11 for serial correlation in the residuals.

Below the codes I have used to conduct the LM test.

equation eq1.ls sf c blm --> This is the regression of sf on a constant and the independent variable (blm).
eq1.makeresid resid01 --> I saved the residuals of the fitted model to test whether past residuals influence the current residuals.
equation eq2.ls resid01 c blm resid01(-1) resid01(-2) --> This is the auxiliary regression of the residuals on the original regressor and lagged residuals up to 2 order.

Can anyone tell me the codes for calculating the LM test statistics, including the F-statistic and Obs*R-squared statistic? Any advice would be appreciated. I hope that my question is clear enough for anyone to answer. Please let me know if you need further information. Thank you.

Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 9 guests