[Gretl-devel] VAR autocorrelation testing

Hi, 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, sven