[Gretl-users] LMF serial correlation statistic

[Allin Cottrell]

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