Re: [Gretl-devel] multivariate ARCH test for VARs

On Sat, 1 Apr 2017, Sven Schreiber wrote: > Am 01.04.2017 um 06:44 schrieb Artur Tarassow: > >> It's very nice to have this type of test >> natively implemented now. >> >>> modtest [horizon] --arch --multivariate >>> >>> (--multivariate is currently a "secret" >>> option). >> >> However, couldn't we just use the option >> "--march" instead of "--arch >> --multivariate" ? > > That was my first thought as well, but I guess > at some point this method should become the > default (for VARS/systems), and so it wouldn't > be good to introduce a new option now. But it's > not obvious (to me) which is the best > arrangement. Here's one more thought. If the multivariate autocorrelation and ARCH tests are fully validated, they should probably become the default for VARs. But as Lutkepohl points out, they both chew up a lot of degrees of freedom, and he talks about use of univariate tests as a fallback. So we might go the other way from the current private option and add a --univariate option to get the univariate versions even when testing a VAR.