Re: [Gretl-devel] VAR autocorrelation testing
On Mon, 27 Mar 2017, Sven Schreiber wrote:
Am 26.03.2017 um 20:43 schrieb Allin Cottrell:
> Thanks for the nice hansl prototype. I've now replaced the built-in
> "modtest --autocorr" for VARs with a C implementation of this system
> test. If anyone's in a position to check against known-good results that
> would be helpful.
One more remark: This test can fail in small samples if the order up
to which AC is tested becomes too large, simply because of missing
degrees-of-freedom.
OK, we'll now (in git) catch that possibility in advance and flag an
error.
Allin