Likelihood Ratio test
Posted: Sun Jul 24, 2011 8:12 pm
Hello everybody! :)
I want to perform a Likelihood Ratio test to see if the correlation matrix of the residuals from some regressions are statistically significant as a group... (to test the hypothesis that the correlation matrix is is equal to the identity matrix.) As shown in Morrison (1967), the ratio of the restricted and unrestricted likelihood functions is
λ=R^n/2 where R is the determinant of the correlation matrix. Βut I have no idea how to do that in E views... could you please please please help me? thank you in advance!!!!
I want to perform a Likelihood Ratio test to see if the correlation matrix of the residuals from some regressions are statistically significant as a group... (to test the hypothesis that the correlation matrix is is equal to the identity matrix.) As shown in Morrison (1967), the ratio of the restricted and unrestricted likelihood functions is
λ=R^n/2 where R is the determinant of the correlation matrix. Βut I have no idea how to do that in E views... could you please please please help me? thank you in advance!!!!