Breush-Godfrey test with ARMA model
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Breush-Godfrey test with ARMA model
Trying to conduct the Breush-Godfrey test using ARMA (1,2) however, keep receiving the error message: not available with this estimation method (ARMA ML). What does this mean? Did I do something wrong? What could be wrong with the data to receive this result?
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13317
- Joined: Tue Sep 16, 2008 5:38 pm
Re: Breush-Godfrey test with ARMA model
If you estimate the ARMA model using Maximum Likelihood, the BG test isn't available. Try using CLS instead of ML.
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