Object Reference : Object View and Procedure Reference : Equation
Compute serial correlation LM (Lagrange multiplier) test.
Carries out Breusch-Godfrey Lagrange Multiplier (LM) tests for serial correlation in the estimation residuals.
eq_name.auto(order, options)
You must specify the order of serial correlation for which you wish to test. You should specify the number of lags in parentheses after the auto keyword, followed by any additional options.
Force the dialog to appear from within a program.
Print output from the test.
To regress OUTPUT on a constant, LABOR, and CAPITAL, and test for serial correlation of up to order four you may use the commands:
equation eq1.ls output c labor capital
The commands:
output(t) c:\result\artest.txt
equation eq1.ls cons c y y(-1)
eq1.auto(12, p)
perform a regression of CONS on a constant, Y and lagged Y, and test for serial correlation of up to order twelve. The first line redirects printed tables/text to the ARTEST.TXT file.
See “Serial Correlation LM Test” for further discussion of the Breusch-Godfrey test.