Re: [Gretl-devel] VAR autocorrelation testing
On Mon, 27 Mar 2017, Sven Schreiber wrote:
Am 26.03.2017 um 22:57 schrieb Sven Schreiber:
> Am 26.03.2017 um 22:45 schrieb Allin Cottrell:
>> No, I don't have anything specific in mind. Does Lutkepohl discuss a
>> multivariate ARCH test? (Sorry, I don't have his book.)
>
> Yeah, he is basically saying he copied that from the PcFiml/PcGive
> manual by Doornik&Hendry. (multivariate ARCH-LM type test, I mean)
>
> Should also be fairly straightforward, but not right now...
Attached is a prototype. Now this produces some results in the test case, but
it is really untested, please don't make this the standard VAR-ARCH test
output just yet.
Based on section 16.5.1 (essentially equation 16.5.1) from Helmut Lütkepohl.
Thanks, Sven. This looks less daunting that one might have feared!
I'll have a go at turning it into gretl-C but I won't replace the
current per-equation ARCH test for VARs until we're satisfied that
the multivariate version is right.
Allin