Do you know how can I compute out the p-value in LM statistics? (What is the command in stata?) I know that to implement the LM computing procedure I have to do the following steps:
- Obtain the OLS estimators of the restricted model;
- Obtain the residuals regression;
- regress the residuals on all independent variablesof the unrestricted model;
- get the R^2 of this regression;
- get LM stat that is [R^2] * [# of observations];
I know how I have to proceed till now, but how can I compute out the p-value for the LM statistics? Does somebody know how getting the solution? Thanks in advance for helping!!