Re: [Gretl-devel] VAR autocorrelation testing
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.
One more remark: This test can fail in small samples if the order up to
which AC is tested becomes too large, simply because of missing
degrees-of-freedom. So perhaps some fallback would also be good, maybe
just the portmanteau statistic.
cheers,
sven