Likelihood ratio test

Econometrics questions and discussions

Likelihood ratio test

Postby ef08kp » Sat Aug 29, 2009 4:44 pm

hi,
I have a estar model and have to check whether restriction conditions are met or not. Enders manual has the following code:

ratio(degrees=df, mcorr=c, other options) start end
# series containing the residuals from the unrestricted system
# series containing the residuals from the restricted system

My p=2 ( lag length) and delay parameter d=1 and have only one series . what is the unrestricted system and restricted system. Could somebody guide me with code please.

thank you
ef08kp
 
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Re: Likelihood ratio test

Postby TomDoan » Sat Aug 29, 2009 8:33 pm

The Enders code if for testing restrictions in a system of equations (like a VAR). What are you trying to test?
TomDoan
 
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