How is the LM test calculated for Gretl for just a standard model.
I just ran a model
Model 5: OLS, using observations 1-2017
Dependent variable: nettfa
coefficient std. error t-ratio p-value
---------------------------------------------------------
const -20.9850 2.47202 -8.489 3.98e-017 ***
inc 0.770583 0.0614520 12.54 8.73e-035 ***
age25 0.0251267 0.00259339 9.689 9.96e-022 ***
male 2.47793 2.04778 1.210 0.2264
e401k 6.88622 2.12327 3.243 0.0012 ***
Mean dependent var 13.59498 S.D. dependent var 47.59058
Sum squared resid 3982124 S.E. of regression 44.48805
R-squared 0.127868 Adjusted R-squared 0.126134
F(4, 2012) 73.74763 P-value(F) 2.18e-58
Log-likelihood -10514.46 Akaike criterion 21038.91
Schwarz criterion 21066.96 Hannan-Quinn 21049.21
When I save the residuals squared to run the Pagan test I get this
Model 6: OLS, using observations 1-2017
Dependent variable: usq5
| Coefficient | Std. Error | t-ratio | p-value | |
const | -4573.55 | 1848.7 | -2.4739 | 0.01345 | ** |
inc | 112.358 | 45.9568 | 2.4449 | 0.01458 | ** |
age25 | 4.84866 | 1.93946 | 2.5000 | 0.01250 | ** |
male | 2331.25 | 1531.43 | 1.5223 | 0.12810 | |
e401k | 1164.83 | 1587.89 | 0.7336 | 0.46330 |
Mean dependent var | 1974.280 | S.D. dependent var | 33367.52 | |
Sum squared resid | 2.23e+12 | S.E. of regression | 33270.33 | |
R-squared | 0.007789 | Adjusted R-squared | 0.005817 | |
F(4, 2012) | 3.948695 | P-value(F) | 0.003387 | |
Log-likelihood | -23861.35 | Akaike criterion | 47732.70 | |
Schwarz criterion | 47760.75 | Hannan-Quinn | 47742.99 |
The LM test from my understanding is n*r^2, which here would be 15.71
Using gretl’s built in test I get the following:
Breusch-Pagan test for heteroskedasticity
OLS, using observations 1-2017
Dependent variable: scaled uhat^2
coefficient std. error t-ratio p-value
--------------------------------------------------------
const -2.31657 0.936391 -2.474 0.0134 **
inc 0.0569109 0.0232777 2.445 0.0146 **
age25 0.00245591 0.000982363 2.500 0.0125 **
male 1.18081 0.775689 1.522 0.1281
e401k 0.590001 0.804287 0.7336 0.4633
Explained sum of squares = 4485.49
Test statistic: LM = 2242.746588,
with p-value = P(Chi-square(4) > 2242.746588) = 0.000000
How did the LM test become so big for this model?