Re: [Gretl-devel] VAR autocorrelation testing
On Mon, 27 Mar 2017, Sven Schreiber wrote:
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.
True. Although one may question the whole point of using inferential
procedures at all, when degrees of freedom get exhausted. In those cases,
I would find it hard, statistically speaking, to consider those "tests"
more than descriptive statistics. Perhaps in those cases we may just spew
out an error message saying that the statistic is not available because
the sample size is too small.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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