lmtest_d.m

来自「时间序列分析中常用到的matlab代码」· M 代码 · 共 32 行

% PURPOSE: demo using lmtest() 
%                       
% computes LM-test for two regressions
%---------------------------------------------------
% USAGE: lmtest_d
%---------------------------------------------------

rand('seed',10);
n = 100; k=6;
x = randn(n,k);
e = randn(n,1);    
b = ones(k,1);
iota = ones(n,1);
x(:,1) = iota;
% generate y1 data vector using all 6 x's
y = x*b + e;
% create x-matrix based on only 4 x's
xsmall = x(:,1:4);

% unrestricted regression
resu = ols(y,x);

% restricted regression
resr = ols(y,xsmall);

% LM-test of the restriction
% prints results to command window
lmtest(resr,x);

[lmstat lmprob result] = lmtest(resr,x);
prt(result);