![]() ![]() 75 × n 1/3 or 4 × ( n/100) 2/9.Įxample 1: Figure 1 shows the Interest Rate, GDP and Investment Volume for a certain country in the years 1995 through 2014. ![]() If p = 1, the BG test tests for first-order autoregression and is also called Durbin’s M test.Ĭommonly used estimates for p are. Note that df Res from the regression in step 2 is equal to n – p – k – 1. Where k = the number of independent variables. There is an F test version of the Breusch-Godfrey test that uses a modified version of this statistics LM*. The test statistic nR 2 is sometimes called the LM ( Lagrange multiplier) statistic. If p-value < α, then the null hypothesis is rejected, and so at least one of the p j is significantly different from zero. Where n is the original sample size and R 2 is the value calculated in step 2. Step 2: Using these sample residuals e 1, e 2, …, e n, run an OLS regression for the modelīased on this null hypothesis, If the sample size is sufficiently large, then Step 1: Run OLS regression to calculate an estimate of the model models of the form y i = ax i + by i-1 + c). It also supports a broader class of regressors (e.g. Whereas the Durbin-Watson Test is restricted to detecting first-order autoregression, the Breusch-Godfrey ( BG) Test can detect autocorrelation up to any predesignated order p.
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