Auxiliary Regression. Once the regression model is formulated and estimated a set of additional regression models are needed to be designed among the independent variables only. We run the auxiliary regression uˆ2sls a 1z 1 a 2z 2.
Such a model can be examined by regressing the squared residuals on the independent variables using an auxiliary regression equation of the form. Auxiliary regressions Eigen-values and condition index Tolerance and variance inflation factor STATA. Pkk32 parameters in this auxiliary regression eg.
We briefly sketch how the LM test statistics can be easily computed from an auxiliary regression.
We briefly sketch how the LM test statistics can be easily computed from an auxiliary regression. Can test the null hypothesis that all IVs are exogenous. The best estimate that we have is e 2 where e is our residual. We run the auxiliary regression uˆ2sls a 1z 1 a 2z 2.
