Re: [Gretl-devel] df question for modtest --autocorr after tsls
Am 18.09.2016 um 13:00 schrieb oleg_komashko(a)ukr.net:
Dear all,
Gretl output makes a reference to Gogfrey(1994)
for Pseudo-LMF statistics.
I.e. gretl uses F(g, T - k ) instead of F(g, T - k - g)
Is this a bug, or there is a newer corrected
reference?
I haven't looked at the cited paper, but whether small-sample
adjustments are used or not is open to debate I guess, especially for
asymptotically justified estimators. But I agree that it should be
transparent at least.
cheers,
sven