Re: [Gretl-devel] VAR autocorrelation testing
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.
I haven't checked out Eviews's tests there in ages (and it's not clear
at all they would be "known good") but maybe I could do that.
Our ARCH test for VARs is still just per-equation. Maybe at some
point
we can upgrade that too.
Yes, that would be good, too. Any particular test incarnation you have
in mind (haven't looked)?
Thanks for the translation hansl-to-gretl-C!
cheers,
sven