What is breusch Godfrey serial correlation LM test?
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 is Ljung Box calculated?
Both approximate a chi-squared statistic, based on autocorrelations up to order p.
- Box Pierce test statistic: n * sum of squared autocorrelations,
- Ljung Box test statistic: the squared autocorrelations are weighted at lag j by (n + 2)/(n – j) (j = 1…,p).
Which is more powerful Breusch-Godfrey or Ljung-Box?
The Ljung-Box test is based on second moments of the residuals of a stationary process (and thus of a comparatively more ad-hoc nature). The Breusch-Godfrey test is as Lagrange Multiplier test asymptotically equivalent to the uniformly most powerful test.
How many lags to use in the Ljung Box test of a time?
It has a parameter, h, which is the number of lags to be tested. Some texts recommend using h =20; others recommend using h =ln (n); most do not say what h to use. Rather than using a single value for h, suppose that I do the Ljung-Box test for all h <50, and then pick the h which gives the minimum p value.
What is the Langrange multiplier test of Breusch and Godfrey?
Maddala literally laments the widespread use of this test, and instead considers as appropriate the “Langrange Multiplier” test of Breusch and Godfrey.
How does the Breusch-Godfrey serial correlation test work?
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. The null hypothesis is that there is no serial correlation of any order up to p.