The TD_BREUSCH_PAGAN_GODFREY function returns a primary result set consisting of one row per unique series acted upon by the function. The function returns a primary result set consisting of one row per unique series instance acted on by the function. There are no additional auxiliary layers returned by this function.
RETURNS TABLE Schema
| Name | Data Type | Description |
|---|---|---|
| derived-series-identifier | Varies | The resultant series identifier inherited from the SERIES_ID. |
| ROW_I | BIGINT | Index of time series. |
| NUM_SAMPLES | INTEGER | Total number of sample points in the residual series. |
| EXPLANATORY_COUNT | INTEGER | The number of explanatory variables used in the auxiliary regression. |
| RSS_ORIG | FLOAT | The calculated residual sum of squares (RSS) from the residuals associated with the original regression. |
| MLE_VARIANCE | FLOAT | The calculated, maximum likelihood variance of the residuals from the auxiliary regression. |
| AUX_ESS | FLOAT | The calculated explained sum of squares (ESS) relative to the residuals from the auxiliary regression. |
| DEGRESS_FREEDOM | INTEGER | The calculated degrees of freedom relative to the auxiliary regression. |
| SIGNIFICANCE_LEVEL | FLOAT | The significance level used for the test. |
| BPG_VALUE | FLOAT | The calculated Breusch-Pagan-Godfrey test statistic value. |
| P_VALUE | FLOAT | The p-value corresponding to the calculated test statistic. |
| CHISQUARE_VALUE | FLOAT | The chi-squared critical value from the chisquared-statistic tables. |
| CRITICAL_P | FLOAT | The p-value corresponding to the critical value. |
| NULL_HYPOTH | VARCHAR(8) | The result of the test.
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