Breusch-Godfrey and 2SLS

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

Post Reply
startz
Non-normality and collinearity are NOT problems!
Posts: 3798
Joined: Wed Sep 17, 2008 2:25 pm

Breusch-Godfrey and 2SLS

Postby startz » Thu Sep 24, 2009 5:54 pm

Does anyone happen to know if the standard Breusch-Godfrey LM test for serial correlation is valid when the residuals are from two-stage least squares. My not-too-well-informed impression is that it is not.
Top
EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13611
Joined: Tue Sep 16, 2008 5:38 pm

Re: Breusch-Godfrey and 2SLS

Postby EViews Gareth » Fri Sep 25, 2009 3:20 pm

Some guy called Jeff Wooldridge has a paper "A note on the Lagrange multiplier and F-statistics for two stage least squares regressions" (Econ Letters, Oct. 1990), that covers this.
Top
EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13611
Joined: Tue Sep 16, 2008 5:38 pm

Re: Breusch-Godfrey and 2SLS

Postby EViews Gareth » Fri Sep 25, 2009 3:28 pm

The Wooldridge paper could be seen as a generalisation of an earlier paper (1983, Econ Letters) by some guy called Richard Startz.
Top
startz
Non-normality and collinearity are NOT problems!
Posts: 3798
Joined: Wed Sep 17, 2008 2:25 pm

Re: Breusch-Godfrey and 2SLS

Postby startz » Sat Sep 26, 2009 2:56 pm

I'd missed that the auxiliary regression was by 2SLS.

but then, how could anyone with such great taste in literature ever go wrong?
Top
Post Reply

Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 2 guests