[Gretl-devel] ARCH test option for VARs

Hi, I stumbled over the situation of ARCH diagnostic testing in VARs and found the old thread from 2017 "multivariate ARCH test for VARs". (See below for a snippet.) It talks about a "univariate" option which isn't documented in current gretl 2020a. Is this a secret or has it never been implemented? thanks sven ------- From 2017: Allin: 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. Jack: Excellent solution IMO.