Re: [Gretl-devel] VAR autocorrelation testing
On Tue, 14 Mar 2017, Sven Schreiber wrote:
I've just revisited the available tools for diagnostic checking
of VARs (as
you may have guessed from my earlier email this morning). To be honest, I've
found them a little lacking.
Attached is an implementation of the Rao-style F-statistic for VAR residual
autocorrelation that is described in Helmut Luetkepohl's "New" book (also
more than 10 years old already), section 4.4.4 (Lagrange Multiplier Tests for
Checking the Whiteness of the Residuals).
A simple test case is also included (at the bottom of the script). Note the
different p-values for order 4 compared to the built-in tests.
Comments and corrections welcome. Eventually I would propose to adapt this as
a built-in "modtest" variant (if no problems arise with this).
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.
Our ARCH test for VARs is still just per-equation. Maybe at some point
we can upgrade that too.
Allin