What is LM test for serial correlation?
The Breusch–Godfrey serial correlation LM 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.
How do you interpret a breusch Pagan test?
What is this? If the p-value that corresponds to this Chi-Square test statistic with p (the number of predictors) degrees of freedom is less than some significance level (i.e. α = . 05) then reject the null hypothesis and conclude that heteroscedasticity is present. Otherwise, fail to reject the null hypothesis.
How do you calculate linear regression?
The least squares method is the most widely used procedure for developing estimates of the model parameters. For simple linear regression, the least squares estimates of the model parameters β0 and β1 are denoted b0 and b1. Using these estimates, an estimated regression equation is constructed: ŷ = b0 + b1x .
What do descriptive statistics tell us?
Descriptive statistics are used to describe or summarize the characteristics of a sample or data set, such as a variable’s mean, standard deviation, or frequency. Inferential statistics can help us understand the collective properties of the elements of a data sample.
How do you calculate lm in statistics?
Computing p-value of LM statistic value in Stata
- Obtain the OLS estimators of the restricted model;
- Obtain the residuals regression;
- regress the residuals on all independent variablesof the unrestricted model;
- get the R^2 of this regression;
- get LM stat that is [R^2] * [# of observations];
How do I remove autocorrelation from data?
There are basically two methods to reduce autocorrelation, of which the first one is most important:
- Improve model fit. Try to capture structure in the data in the model.
- If no more predictors can be added, include an AR1 model.