[R-sig-finance] Re: lagrange multiplier test for arma modelling

[s viswanath]

Dear R experts,
Followup to my earlier post of finding arma specification. I found thruough r posts, the bg test (bresuch godfrey test).

Is there a way for the bgtest to show the individual coefficients and their p values for the order variables.

best,
sri

-----Original Message-----
From: r-sig-finance-request at stat.math.ethz.ch
To: r-sig-finance at stat.math.ethz.ch
Date: Mon, 19 Jul 2004 12:12:31 +0200
Subject: R-sig-finance Digest, Vol 2, Issue 7

Send R-sig-finance mailing list submissions to
	r-sig-finance at stat.math.ethz.ch

To subscribe or unsubscribe via the World Wide Web, visit
	https://www.stat.math.ethz.ch/mailman/listinfo/r-sig-finance
or, via email, send a message with subject or body 'help' to
	r-sig-finance-request at stat.math.ethz.ch

You can reach the person managing the list at
	r-sig-finance-owner at stat.math.ethz.ch

When replying, please edit your Subject line so it is more specific
than "Re: Contents of R-sig-finance digest..."


Today's Topics:

   1. question on lm test for arma lag specification (s viswanath)


----------------------------------------------------------------------

Message: 1
Date: Sun, 18 Jul 2004 18:58:40 -0700
From: "s viswanath" <ru68y7s at myrealbox.com>
Subject: [R-sig-finance] question on lm test for arma lag
	specification
To: r-sig-finance at stat.math.ethz.ch
Message-ID: <1090202320.d6badc5cru68y7s at myrealbox.com>
Content-Type: text/plain; charset="US-ASCII"


hello R experts,

my question is regarding arma modelling and specification. 

in another older, statistics package , after determining stationarity, i would try to work out the number of ar and ma lags  using an lm test. 
to do this i would 

1. regress  my dependant variable on an intercept term then
2. use LM test for serial correlation, and finally
3. use the  p value of the ols residuals to get the maximum lags for  the arma specification.

I am interested to know how to do this LM test in R say using a function, using perhaps the fseries library?

Thank you in advance,

Sri 

Also, thank you very much for the Roptions package I have been using the options functions regularily.



------------------------------

_______________________________________________
R-sig-finance mailing list
R-sig-finance at stat.math.ethz.ch
https://www.stat.math.ethz.ch/mailman/listinfo/r-sig-finance


End of R-sig-finance Digest, Vol 2, Issue 7