bgod
Show Breusch-Godfrey autocorrelation test results.Needs OLS to be run in advance with independent and dependent variables
Usage
bgod [-l LAGS]
Parameters
| Name | Description | Default | Optional | Choices |
|---|---|---|---|---|
| lags | The lags for the Breusch-Godfrey test | 3 | True | None |
Examples
2022 Jun 01, 06:29 (🦋) /econometrics/ $ load longley -a ll
2022 Jun 01, 06:29 (🦋) /econometrics/ $ ols -d ll.totemp -i ll.gnpdefl,ll.gnp,ll.unemp,ll.armed,ll.pop,ll.year
OLS Regression Results
=======================================================================================
Dep. Variable: ll.totemp R-squared (uncentered): 1.000
Model: OLS Adj. R-squared (uncentered): 1.000
Method: Least Squares F-statistic: 5.052e+04
Date: Wed, 01 Jun 2022 Prob (F-statistic): 8.20e-22
Time: 12:29:44 Log-Likelihood: -117.56
No. Observations: 16 AIC: 247.1
Df Residuals: 10 BIC: 251.8
Df Model: 6
Covariance Type: nonrobust
==============================================================================
coef std err t P|t| [0.025 0.975]
------------------------------------------------------------------------------
ll.gnpdefl -52.9936 129.545 -0.409 0.691 -341.638 235.650
ll.gnp 0.0711 0.030 2.356 0.040 0.004 0.138
ll.unemp -0.4235 0.418 -1.014 0.335 -1.354 0.507
ll.armed -0.5726 0.279 -2.052 0.067 -1.194 0.049
ll.pop -0.4142 0.321 -1.289 0.226 -1.130 0.302
ll.year 48.4179 17.689 2.737 0.021 9.003 87.832
==============================================================================
Omnibus: 1.443 Durbin-Watson: 1.277
Prob(Omnibus): 0.486 Jarque-Bera (JB): 0.605
Skew: 0.476 Prob(JB): 0.739
Kurtosis: 3.031 Cond. No. 4.56e+05
==============================================================================
Notes:
[1] R² is computed without centering (uncentered) since the model does not contain a constant.
[2] Standard Errors assume that the covariance matrix of the errors is correctly specified.
[3] The condition number is large, 4.56e+05. This might indicate that there are
strong multicollinearity or other numerical problems.
Warnings:
kurtosistest only valid for n=20 ... continuing anyway, n=16
2022 Jun 01, 06:29 (🦋) /econometrics/ $ bgod
Breusch-Godfrey autocorrelation test [Lags: 3]
┏━━━━━━━━━━┳━━━━━━━━━━━━━━━━━┓
┃ ┃ Breusch-Godfrey ┃
┡━━━━━━━━━━╇━━━━━━━━━━━━━━━━━┩
│ LM-stat │ 10.35 │
├──────────┼─────────────────┤
│ p-value │ 0.02 │
├──────────┼─────────────────┤
│ f-stat │ 0.10 │
├──────────┼─────────────────┤
│ fp-value │ 0.96 │
└──────────┴─────────────────┘
The result 0.02 indicates no existence of autocorrelation.