Likelihood ratio test

Econometrics questions and discussions
ef08kp
Posts: 11
Joined: Fri Jul 24, 2009 6:08 am

Likelihood ratio test

Unread post by ef08kp »

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
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Likelihood ratio test

Unread post by TomDoan »

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