1# PS9.3, for the LM test in Example 9.4 2open data4-7 3ols chd 0 cig edfat spirits beer 4# save residuals 5genr ut=$uhat 6# generate lag of ut 7genr ut1=ut(-1) 8# print ut and ut1 to see how ut1 is internally stored 9print ut ut1 10# suppress first obs. because ut1 is not defined for it 11smpl 1948 1980 12# auxiliary regression for LM test 13ols ut 0 cig edfat spirits beer ut1 14# compute nrsquare statistic 15genr LM = $nrsq 16# compute pvalue for it 17pvalue X 1 LM 18