Breusch-Godfrey after ARMA
Posted: Sat Feb 25, 2012 2:20 pm
If you run a pure ARMA model and then check the Breusch-Godfrey, what exactly is EViews doing?
Code: Select all
create u 100
series y=nrnd
' ar
equation eq01.ls y c ar(1)
eq01.makeresid resid01
eq01.makegrad grad01 grad02
series g1=grad01/resid01/(-2)
series g2=grad02/resid01/(-2)
series resid011 = resid01(-1)
series resid012 = resid01(-2)
resid011=@recode(resid011=na, 0, resid011)
resid012=@recode(resid012=na, 0, resid012)
equation serial_ar.ls resid01 g1 g2 resid011 resid012
freeze(artab) eq01.auto(2)
' arma
equation eq02.ls y c ar(1) ma(1)
eq02.makeresid resid02
eq02.makegrad grad03 grad04 grad05
series g3=grad03/resid02/(-2)
series g4=grad04/resid02/(-2)
series g5=grad05/resid02/(-2)
series resid021 = resid02(-1)
series resid022 = resid02(-2)
resid021=@recode(resid021=na, 0, resid021)
resid022=@recode(resid022=na, 0, resid022)
equation serial_arma.ls resid02 g3 g4 g5 resid021 resid022
freeze(armatab) eq02.auto(2)
show serial_ar
show artab
show serial_arma
show armatab