(* PS9.3, using DATA4-7, for the LM test in Example 9.4 *)
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 
