1 / 1

Autocorrelation: Lagrange Multiplier Test with AR(1) Errors

Learn how to use the Lagrange Multiplier test with AR(1) errors in autocorrelation analysis. Follow steps like estimating with CRM, regressing against variables, and calculating LM statistic for error detection.

sharon-kelly
Télécharger la présentation

Autocorrelation: Lagrange Multiplier Test with AR(1) Errors

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Autocorrelation • Lagrange Multiplier Test with AR(1) Errors: • Yt=β1+β2Xt2+…+ βKXtK + et (i) et=ρet-1+ υt -1 < ρ < 1 • →Yt=β1+β2Xt2+… + β2XtK + ρet-1+ υt(ii) • LM test • Use CRM to estimate (i) • Regress est aganst a constant, Xt2,…,Xtk and es,t-1 • Calculate LM=(T-1)R2 • Reject H0, we have autocorrelated error if LM>χ21(α) • LM test is a large sample test, T>30 to be meaningful

More Related