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