Re: [Gretl-devel] modtest option --xdepend

On Fri, 12 Aug 2016, Sven Schreiber wrote:

> > I have to admit I'm not up to date on this particular topic, i.e. > whether there's a consensus view or diffferent preferences. Does > anybody know more about these tests? So far I've just worked from Pesaran's 2004 paper and the Stata Journal article on the "xtcsd" command from 2006. Stata supports a couple of other tests; they seem a bit fiddly to me and I haven't yet investigated how well motivated they are, but it may be worth looking into them. The new "modtest" option is open to extension, via the syntax --xdepend=method, if we reckon that's worth doing.