Re: [Gretl-users] LMF serial correlation statistic
On Mon, 3 Mar 2008, rwarekw wrote:
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.
Ah, we've been using Ramanathan's version of the LMF calculation.
See http://econ.ucsd.edu/~rramanat/LMFtest.pdf ; he gives
((T-k-n)/n) * R2 / (1-R2)
where R2 is the unadjusted R-squared from the auxiliary
regression. This is equivalent to an F-test for the null that
all coefficients in the auxiliary regression are zero.
I see this is not identical to Kiviet's formulation, and will
differ numerically if the sample partial correlation (controlling
for the lagged residuals) between X and the current residual is
non-zero. Perhaps we should switch to Kiviet's version.
Allin Cottrell