Assembly: Stat;
The ISmSerialCorrelationLMTest interface determines the parameters of the Godfrey criterion of residual autocorrelation of linear regression model.
ISmSerialCorrelationLMTest
If the probability value is less than 0.05, the null hypothesis (residuals are not autocorrelated) is rejected at the 5% significance level.
Hypothesis:
H0. The residual series is not autocorrelated up to N order.
H1. The residuals are autocorrelated.
The test returns the Fisher statistics and LM-statistics (adjusted determination coefficient multiplied by the number of observations) and the appropriate probability values.
Property name | Brief description | |
ARMA | The ARMA property determines autoregression and moving average orders. | |
ChiTest | The ChiTest property returns LM-statistics values. | |
Explained | The Explained property determines an explained series. | |
Explanatories | The Explanatories property determines explanatory series. | |
Fitted | The Fitted property returns a modeling series. | |
FTest | The FTest property returns Fisher statistics values. | |
LMOrder | The LMOrder property determines a lag. | |
MissingData | The MissingData property determines missing data treatment method. | |
ModelCoefficients | The ModelCoefficients property returns parameters of model coefficients. | |
ModelPeriod | The ModelPeriod property determines sample period parameters. | |
Residuals | The Residuals property returns a residual series. | |
SummaryStatistics | The SummaryStatistics property returns summary statistics. |
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. |
See also: