ln Ht = α + β ln Yt + γ ln rt + ut Suppose one...

ln Ht = α + β ln Yt + γ ln rt + ut

Suppose one wanted to use an LM test to test for first-order autocorrelation.

Q1. What is the auxiliary equation?
Q2. How would you calculate the test statistic?

Expert Solution

Q1

auxiliary equation is

= 0 + 1 ln Yt + 2 ln rt + 1

2)

TS - nR^2

where R^2 comes for regression in auxiliary equation

orchestra answered 1 year ago

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