What does the breusch Godfrey test tell us?
What does the breusch Godfrey test tell us?
The Breusch–Godfrey test is a test for autocorrelation in the errors in a regression model. It makes use of the residuals from the model being considered in a regression analysis, and a test statistic is derived from these. The null hypothesis is that there is no serial correlation of any order up to p.
How do you test for serial correlation?
The presence of serial correlation can be detected by the Durbin-Watson test and by plotting the residuals against their lags. The subscript t represents the time period. In econometric work, these u’s are often called the disturbances.
How many designs does original BG test have?
Background. The first version of the Bender-Gestalt test was developed in 1938 by child neuropsychiatrist Lauretta Bender. The original test consists of nine index cards with different figures on each card. The subject is shown each figure and asked to copy it onto a piece of blank paper.
How do you fix serial correlation in Stata?
Correcting for autocorrelation is easy with STATA. Run the analysis with the Prais-Winston command, specifying the Cochran-Orcutt option….The basic steps are :
- Set the data set to be a time-series data set.
- Run regression.
- Examine for serial correlation.
- Correct the regression for the serial correlation.
How do you read a breusch Pagan Godfrey test?
The test statistic approximately follows a chi-square distribution.
- The null hypothesis for this test is that the error variances are all equal.
- The alternate hypothesis is that the error variances are not equal. More specifically, as Y increases, the variances increase (or decrease).
What is the problem with serial correlation?
Serial correlation causes the estimated variances of the regression coefficients to be biased, leading to unreliable hypothesis testing. The t-statistics will actually appear to be more significant than they really are. Plotting the residuals is always a good first step.
How do I perform the Breusch-Pagan test in Stata?
We will use the built-in Stata dataset auto to illustrate how to perform the Breusch-Pagan Test. Step 1: Load and view the data. Step 2: Perform multiple linear regression. Next, we will type in the following command to perform a multiple linear regression using price as the response variable and mpg and weight as the explanatory variables:
What is the equivalent of the Breusch-Godfrey test statistic?
For p=1, the test is asymptotically equivalent to the Durbin-Watson ‘h’ statistic (durbinh), which may be considered a special case of the Breusch-Godfrey test statistic. This is version 1.03 of the software, updated from that published in STB-55 to zero-fill lagged residuals, altering the degrees of freedom in the auxiliary regression.
What is the difference between Estat archlm and Estat bgodfrey?
estat archlm performs Engle’s Lagrange multiplier (LM) test for the presence of autoregressive conditional heteroskedasticity. estat bgodfrey performs the Breusch–Godfrey test for higher-order serial correlation in the disturbance. This test does not require that all the regressors be strictly exogenous.
What is the difference between Stata’s LM test and Estat’s test statistic?
As you can see, the test statistic is the same at that from estat bgodfrey. So, when Stata does the LM test, it uses all 90 observations by replacing the lagged residuals that extend beyond the beginning of the sample with zeros.
