Re: [Gretl-devel] VAR autocorrelation testing
On Sun, 26 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.
I haven't checked out Eviews's tests there in ages (and it's not clear at all
they would be "known good") but maybe I could do that.
> Our ARCH test for VARs is still just per-equation. Maybe at some point
> we can upgrade that too.
Yes, that would be good, too. Any particular test incarnation you have in
mind (haven't looked)?
No, I don't have anything specific in mind. Does Lutkepohl discuss a
multivariate ARCH test? (Sorry, I don't have his book.)
Thanks for the translation hansl-to-gretl-C!
No problem. This is how Jack and I often work: if a prototype
function can be written in hansl, it generally won't take too long
to translate to gretl-C.
Allin