Hello,
where can i find the exact formula used for calculation the LMF
statistic in the serial correlation LM test? I checked the Kiviet
(1986) formula (LMF, equation 5, p. 245) but it doesn't produce
the same result and i don't know why.
Thanks in advance.
Best regards,
Arek Wiśniowski
Allin Cottrell pisze:
On Sun, 2 Mar 2008, Thomas La Bone wrote:
> I am playing with sunspot data on a Sunday night, making
> periodograms in various software packages (R, SAS, ITSM, and
> Gretl). The Gretl periodogram is quite nice, with the period on
> the upper x axis and the "scaled frequency" on the lower x axis.
> None of the other packages present scaled frequency as a default
> (I don't know if they offer it at all), and I have been unable
> to nail down exactly what it is. Can anyone offer a simple
> explanation of scaled frequency as it is used in Gretl, or even
> better, a specific reference? Thanks.
W. Greene, Econometric Analysis, 4e, chapter 18, section 18.2.8.
I suppose there must be a counterpart in more recent editions;
I'll see if I can find a newer reference.
Allin Cottrell
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