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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 | # PS9.3, for the LM test in Example 9.4
open data4-7
ols chd 0 cig edfat spirits beer
# save residuals
genr ut=$uhat
# generate lag of ut
genr ut1=ut(-1)
# print ut and ut1 to see how ut1 is internally stored
print ut ut1
# suppress first obs. because ut1 is not defined for it
smpl 1948 1980
# auxiliary regression for LM test
ols ut 0 cig edfat spirits beer ut1
# compute nrsquare statistic
genr LM = $nrsq
# compute pvalue for it
pvalue X 1 LM
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