Le test de breusch godfrey serial correlation lm test

The corresponding p-value is 0. Since this p-value is less than 0. If you reject the null hypothesis and conclude that autocorrelation is present in the residuals, then you have a few different options to correct this problem if you deem it to be serious enough:.

Your email address will not be published. Skip to content Menu. Posted on April 16, by Zach. This test uses the following hypotheses : H 0 null hypothesis : There is no autocorrelation at any order less than or equal to p. For negative serial correlation, check to make sure that none of your variables are overdifferenced.

For seasonal correlation, consider adding seasonal dummy variables to the model. Published by Zach. Figure 1 — Investment volume vs. GDP and Interest Rate. The predicted values of Invest are displayed in column F. We now perform the regression described in Step 2 using the data for the dependent variable shown in range I4:I23 of Figure 2 and the data for the independent variables shown in range J4:O Figure 2 — Data for Step 2 in the Breusch-Godfrey test.

The results of this regression using the Multiple Linear Regression data analysis tool are shown in Figure 3. Figure 3 — Breusch-Godfrey test results. We have also added the calculation of the Breusch-Godfrey test in the upper right side of Figure 3.

RT X6,X7. This indicates that there is third order autocorrelation, but not first or second order autocorrelation. Skip to content.