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Breusch-Godfrey Test Results Analysis

The document reports the results of a Breusch-Godfrey serial correlation LM test conducted on residual values from a regression analysis. The test results show an F-statistic of 5.006576 and an observed R-squared value of 9.646783, both of which have probability values of 0.0081 and 0.0080 respectively, indicating serial correlation is present in the residual values.

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Ivan Vuković
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123 views3 pages

Breusch-Godfrey Test Results Analysis

The document reports the results of a Breusch-Godfrey serial correlation LM test conducted on residual values from a regression analysis. The test results show an F-statistic of 5.006576 and an observed R-squared value of 9.646783, both of which have probability values of 0.0081 and 0.0080 respectively, indicating serial correlation is present in the residual values.

Uploaded by

Ivan Vuković
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd

Breusch-Godfrey Serial Correlation LM Test:

F-statistic 5.006576    Prob. F(2,127) 0.0081


Obs*R-squared 9.646783    Prob. Chi-Square(2) 0.0080

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 10/06/22 Time: 13:12
Sample: 3/01/2019 9/24/2019
Included observations: 132
Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob.

C 0.007404 0.046060 0.160737 0.8726


PROMET -2.19E-08 8.75E-08 -0.250789 0.8024
CROBEX -0.082117 0.205719 -0.399169 0.6904
RESID(-1) -0.281585 0.089366 -3.150935 0.0020
RESID(-2) -0.091521 0.088652 -1.032359 0.3039

R-squared 0.073082    Mean dependent var -4.04E-17


Adjusted R-squared 0.043887    S.D. dependent var 0.459444
S.E. of regression 0.449249    Akaike info criterion 1.274664
Sum squared resid 25.63174    Schwarz criterion 1.383861
Log likelihood -79.12785    Hannan-Quinn criter. 1.319037
F-statistic 2.503288    Durbin-Watson stat 1.993061
Prob(F-statistic) 0.045548

Breusch-Godfrey Serial Correlation LM Test:


F-statistic 5.006576    Prob. F(2,127) 0.0081
Obs*R-squared 9.646783    Prob. Chi-Square(2) 0.0080

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 10/06/22 Time: 13:12
Sample: 3/01/2019 9/24/2019
Included observations: 132
Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob.

C 0.007404 0.046060 0.160737 0.8726


PROMET -2.19E-08 8.75E-08 -0.250789 0.8024
CROBEX -0.082117 0.205719 -0.399169 0.6904
RESID(-1) -0.281585 0.089366 -3.150935 0.0020
RESID(-2) -0.091521 0.088652 -1.032359 0.3039

R-squared 0.073082    Mean dependent var -4.04E-17


Adjusted R-squared 0.043887    S.D. dependent var 0.459444
S.E. of regression 0.449249    Akaike info criterion 1.274664
Sum squared resid 25.63174    Schwarz criterion 1.383861
Log likelihood -79.12785    Hannan-Quinn criter. 1.319037
F-statistic 2.503288    Durbin-Watson stat 1.993061
Prob(F-statistic) 0.045548

ATGR PROMET CROBEX


0.09570924888 0.51112336221
ATGR 1 301734 98989
-
0.09570924888 0.05377972752
PROMET 301734 1 941778
CROBEX 0.51112336221 - 1
98989 0.05377972752
941778

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