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help for ^bgtest^                                                 (STB-55: sg136)
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Calculate the Breusch-Godfrey LM statistic after @regress@
----------------------------------------------------------

	^bgtest^  [, ^l^ags^(^p^)^] 

^bgtest^ is for use after ^regress^; see help @regress@.

^bgtest^ is for use with time-series data. You must ^tsset^ your data before
using ^bgtest^; see help @tsset@.


Description
-----------

^bgtest^ computes the Breusch-Godfrey Lagrange multiplier test (Breusch 1978,
Godfrey 1978) for nonindependence in the error distribution. For a specified
number of lags p, the test's null of independent errors has alternatives of
either AR(p) or MA(p). The test statistic, a TR^^2 measure, is distributed
Chi-squared(p) under the null hypothesis. The test is asymptotically
equivalent to the Box-Pierce portmanteau test, or Q statistic (@wntestq@),
for p lags. Unlike the Q statistic, the Bruesch-Godfrey test is valid in
the presence of stochastic regressors, such as lagged values of the dependent
variable.

For p=1, the test is asymptotically equivalent to the Durbin-Watson 'h' 
statistic (@durbinh@), which may be considered a special case of the 
Breusch-Godfrey test statistic. See Greene (2000), Chapter 13.

The command displays the test statistic, degrees of freedom and P-value,
and places values in the return array. ^return list^ for details. 


Examples
--------

	. ^regress csales isales^
	. ^bgtest^
	. ^bgtest, lags(4)^


References
----------

Breusch, T. "Testing for autocorrelation in dynamic linear models."
    Australian Economic Papers, 17, 1978, pp. 334-355.
    
Godfrey, L. "Testing against general autoregressive and moving average
    error models when the regressors include lagged dependent variables."
    Econometrica, 46, 1978, 1293-1302.
    
Greene, W. Econmetric Analysis. 4th ed., 2000. New York: Prentice-Hall.


Authors
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        Christopher F Baum, Boston College, USA
        baum@@bc.edu

        Vince Wiggins, Stata Corporation
        vwiggins@@stata.com
        
Also see
--------
    STB:  STB-55 sg136
 Manual:  ^[R] regress^, ^[R] regression diagnostics^
On-line:  help for @regdiag@, @regress@, @time@, @tsset@; @dwtest@;
	  @durbinh@ (if installed)