Re: [Gretl-devel] VAR autocorrelation testing
On Sun, 26 Mar 2017, Sven Schreiber wrote:
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.
How about Helmut's example on page 174 of his "New introduction"? (I
still don't have the book itself, but google books gives me quite a
lot of it.) We can now replicate this -- and just as well that I
tried because the trial exposed a nasty bug (my bad), now fixed in
git.
It would be quite nice to include replication of this example in the
VAR chapter of our User's Guide. Do you think we're OK just grabbing
the dataset (oldish West German data in wgmacro.dta, at
https://ideas.repec.org/p/boc/bocins/lutkepohl.html) and making it
available for gretl? Or if you think that's dodgy, would you mind
asking Helmut for permission?
Thanks,
Allin