Dear Gretl users,

I have estimated my system of equations and taken the matrices of the

residual sum of square (from 2 steps). Now, I should make an LM test as

follow:

LM=T(p-tr(RSS1^-1 RRS2))

Notices that RSS1 and RSS2 are 4x4 matrices.

1) Question: Is it correct if I write a code in gretl as:

LM=T(p-tr(RRS2/RRS1)) ?

2 Question: since I never used to write a code to test but I usually test a

model by a click, then a question rises. Is it correct that the output of

the test is a series with the same value?

2) I suppose that I can obtain also the p-value of the test. Can somebody

suggest me the code?

Thank a lot

Valentina

From: valentina81c@hotmail.it
To: gretl-users@lists.wfu.edu
Subject: system of equations
Date: Thu, 10 Oct 2013 19:11:17 +0000

Thanks. However, the command "series res= $uhat" works only whether I estimate my system only equation by equation. To be clear, it works whether I estimate 4 different equations by ols and then collect step by step the residual of each regression by the above command and the RSS. It may work, but then I need the matrix residual sum of squares of the system of equations to pass at 2nd step to compute. Because at end I have to compute the test statistic

LM=T(p-tr{RRS0^(-1) RRS1}

Has somebody any suggestion to obtain in a simple way the matrix residual sum of squares?

Thanks