Re: [Gretl-devel] VAR autocorrelation testing
Am 26.03.2017 um 22:45 schrieb Allin Cottrell:
>> 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.)
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...
thanks,
sven