ISmBreuschPaganGodfreyTest

The SmBreuschPaganGodfreyTest class is used to work with parameters of the Breusch-Pagan-Godfrey test for heteroscedasticity.

Inheritance Hierarchy

Comments

The test returns the Fisher statistics, the Engle statistics, and appropriate probability values.

Properties

	Property name	Brief description
	AdditionalExplanatories	The AdditionalExplanatories property determines explanatory series for auxiliary regression.
	ARMA	The ARMA property returns autoregression and moving average parameters.
	Explained	The Explained property returns the explained series.
	Explanatories	The Explanatories property returns explanatory series.
	Fitted	The Fitted property returns a modeling series of auxiliary regression.
	FStatistic	The FStatistics property returns Fisher statistics value.
	MissingData	The MissingData property returns the method of missing data treatment.
	ModelCoefficients	The ModelCoefficients property returns estimations of auxiliary regression coefficients and their characteristics.
	ModelPeriod	The ModelPeriod property returns sample period parameters.
	ObsR2	The ObsR2 property returns Engle statistics value.
	Residuals	The Residuals property returns residual series of auxiliary regression.
	ScaledExplainedSS	TheScaledExplainedSS property returns adjusted regression error statistics.
	SummaryStatistics	The SummaryStatistics property returns descriptive characteristics of auxiliary regression.

Properties inherited from IStatMethod

	Property name	Brief description
	DisplayName	The DisplayName property returns the displayed method name.
	ErrorByStatus	The ErrorByStatus property returns an error message by the error number.
	Errors	The Errors property returns a message with all the errors and warnings.
	Name	The Name property returns the internal method name.
	PerformanceTime	The PerformanceTime property returns method execution time.
	Status	The Status property returns the method execution status.
	SupportsR	The SupportsR property returns whether statistical method can be calculated via R package.
	UseR	The UseR property determines whether statistical method is calculated via the R package.
	WarningByStatus	The WarningByStatus property returns a warning text by its number.
	Warnings	The Warnings property returns the warnings that occurred on method calculation.
	WarningsCount	The WarningsCount property returns the number of warnings that occurred on method calculation.
	WarningsNumbers	The WarningsNumbers property returns numbers of the warnings that occurred on method calculation.

	Method Name	Brief description
	Clone	The Clone method clones a statistical method object.
	Execute	The Execute method executes a statistical method.
	LoadFromXML	The LoadFromXML method loads statistical method settings from XML code.
	SaveToXML	The SaveToXML method unloads statistical method settings to XML code.

Description