I use the following command to calculate LM Autocorrelation test, without weight option no problem but the problem with weight option I got different results why?
here is the code:
Sample 1 17
Read T Y X1 X2
1 99.20 96.70 101.0
2 99.00 98.10 100.1
3 100.0 100.0 100.0
4 111.6 104.9 90.60
5 122.2 104.9 86.50
6 117.6 109.5 89.70
7 121.1 110.8 90.60
8 136.0 112.3 82.80
9 154.2 109.3 70.10
10 153.6 105.3 65.40
11 158.5 101.7 61.30
12 140.6 95.40 62.50
13 136.2 96.40 63.60
14 168.0 97.60 52.60
15 154.3 102.4 59.70
16 149.0 101.6 59.50
17 165.5 103.8 61.30
Set NODEL
OLS Y X1 X2 / Resid=E Weight=X2 ut
diag / acf
Gen E1=Lag(E,1)
?OLS E E1 x1 x2 /
Gen1 Sqrt($N*$R2)
|_Set NODEL
|_?OLS Y X1 X2 / Resid=E ut
|_diag / acf
REQUIRED MEMORY IS PAR= 5 CURRENT PAR= 112400
DEPENDENT VARIABLE = Y 17 OBSERVATIONS
REGRESSION COEFFICIENTS
1.06170962850 -1.38298545741 130.706587487
RESIDUAL CORRELOGRAM
LM-TEST FOR HJ:RHO(J)=0, STATISTIC IS STANDARD NORMAL
LAG RHO STD ERR T-STAT LM-STAT DW-TEST BOX-PIERCE-LJUNG
1 -0.1455 0.2425 -0.5998 0.7014 2.0185 0.4272
2 -0.2231 0.2425 -0.9200 1.2257 2.0359 1.4994
3 0.1871 0.2425 0.7716 0.9975 1.1956 2.3074
4 -0.3002 0.2425 -1.2377 1.7388 2.0133 4.5462
LM CHI-SQUARE STATISTIC WITH 4 D.F. IS 3.333
|_Gen E1=Lag(E,1)
...NOTE..LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO
|_?OLS E E1 x1 x2 /
|_Gen1 Sqrt($N*$R2)
...NOTE..CURRENT VALUE OF $N = 17.000
...NOTE..CURRENT VALUE OF $R2 = 0.28942E-01
0.70143480
|_?OLS Y X1 X2 / Resid=E Weight=X2 ut
|_diag / acf
REQUIRED MEMORY IS PAR= 5 CURRENT PAR= 112400
DEPENDENT VARIABLE = Y 17 OBSERVATIONS
REGRESSION COEFFICIENTS
0.975798381981 -1.36603123581 138.217582873
RESIDUAL CORRELOGRAM
LM-TEST FOR HJ:RHO(J)=0, STATISTIC IS STANDARD NORMAL
LAG RHO STD ERR T-STAT LM-STAT DW-TEST BOX-PIERCE-LJUNG
1 -0.1453 0.2425 -0.5990 0.6957 2.0257 0.4261
2 -0.2332 0.2425 -0.9615 1.2576 2.0795 1.5972
3 0.1883 0.2425 0.7762 1.0115 1.2232 2.4148
4 -0.3195 0.2425 -1.3174 1.8588 2.0829 4.9515
LM CHI-SQUARE STATISTIC WITH 4 D.F. IS 3.621
|_Gen E1=Lag(E,1)
...NOTE..LAG VALUE IN UNDEFINED OBSERVATIONS SET TO ZERO
|_?OLS E E1 x1 x2 /
|_Gen1 Sqrt($N*$R2)
...NOTE..CURRENT VALUE OF $N = 17.000
...NOTE..CURRENT VALUE OF $R2 = 0.31908E-01
0.73650384