LM test for serial correlation

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eviewsuser2000
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LM test for serial correlation

Postby eviewsuser2000 » Mon Mar 07, 2022 6:06 am

in EViews 12, the LM test for serial correlation gives the output statistic "LRE* stat". What does this stand for?

EViews Gareth
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Re: LM test for serial correlation

Postby EViews Gareth » Mon Mar 07, 2022 2:33 pm

Could you give an example?
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startz
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Re: LM test for serial correlation

Postby startz » Mon Mar 07, 2022 4:02 pm

eviewsuser2000 wrote:in EViews 12, the LM test for serial correlation gives the output statistic "LRE* stat". What does this stand for?

Gareth: Probably "the LRE statistic is the Edgeworth expansion correction form of the LM test" according to double super secret information from an insider at EViews.

eviewsuser2000
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Re: LM test for serial correlation

Postby eviewsuser2000 » Tue Mar 08, 2022 3:35 am

Thank you for your replies.
So the LRE* stat it is essentially the LM stat?
I have included an image of the test output


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