[Gretl-users] LMF serial correlation statistic

[rwarekw]

Hello,
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.
Thanks in advance.

Best regards,
Arek Wiśniowski

Allin Cottrell pisze:
> On Sun, 2 Mar 2008, Thomas La Bone wrote:
> 
>> I am playing with sunspot data on a Sunday night, making 
>> periodograms in various software packages (R, SAS, ITSM, and 
>> Gretl). The Gretl periodogram is quite nice, with the period on 
>> the upper x axis and the "scaled frequency" on the lower x axis. 
>> None of the other packages present scaled frequency as a default 
>> (I don't know if they offer it at all), and I have been unable 
>> to nail down exactly what it is. Can anyone offer a simple 
>> explanation of scaled frequency as it is used in Gretl, or even 
>> better, a specific reference? Thanks.
> 
> W. Greene, Econometric Analysis, 4e, chapter 18, section 18.2.8.  
> I suppose there must be a counterpart in more recent editions; 
> I'll see if I can find a newer reference.
> 
> Allin Cottrell
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