How to run a Breusch-Godfrey test to test for covariance between residuals?
21 visualizzazioni (ultimi 30 giorni)
Mostra commenti meno recenti
Hey dear community!
I struggle to find a way how to run a Breusch-Godfrey test in Matlab to test for autocorrelation (possibly to tenth-order autocorrelation). Assumption to be tested of course is that covariance between residuals is always 0.
Do you have any idea how to do it or implement it on Matlab?
Would be great, thanks and have a nice week!
0 Commenti
Risposte (1)
Shraddha Jain
il 5 Mar 2021
Modificato: Shraddha Jain
il 5 Mar 2021
Hi,
The feature for Breusch-Godfrey test is not yet available in the Econometrics Toolbox. It might be considered in a future release.
0 Commenti
Vedere anche
Categorie
Scopri di più su Hypothesis Tests in Help Center e File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!