Re: [Gretl-devel] VAR autocorrelation testing
Am 26.03.2017 um 22:57 schrieb Sven Schreiber:
Am 26.03.2017 um 22:45 schrieb Allin Cottrell:
> No, I don't have anything specific in mind. Does Lutkepohl
discuss a
> multivariate ARCH test? (Sorry, I don't have his book.)
Yeah, he is basically saying he copied that from the PcFiml/PcGive
manual by Doornik&Hendry. (multivariate ARCH-LM type test, I mean)
Should also be fairly straightforward, but not right now...
Attached is a prototype. Now this produces some results in the test
case, but it is really untested, please don't make this the standard
VAR-ARCH test output just yet.
Based on section 16.5.1 (essentially equation 16.5.1) from Helmut
Lütkepohl.
cheers,
sven
Attachments:
- varARCHtest.inp (application/x-gretlscript — 2.2 KB)