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
