breusch-godfrey lm test

  1. J

    Durbin-Watson test vs Breusch-Godfrey test

    I performed DW test (DW=4) and Godfrey test (Godfrey=4) on a small sample size (60 observations). The DW test results accept the null hypothesis (4 Pr>W value are all >0.05). However, for Godfrey test, only AR(1) accept the null hypothesis (Pr>LM value >0.05). AR(2)-AR(4) all have very small P...
  2. G

    Johansen Test For Cointegration‏

    Hi, I am a student from Belgium and I am making a thesis about the relationship between credit aggregates and property prices. I examine the Granger-Causality between the two variables and I also do some conintegration tests. I have a question about the latter. What are the conditions for...