Re: [Gretl-devel] multivariate ARCH test for VARs
Hi Allin
Following up on Sven at
http://lists.wfu.edu/pipermail/gretl-devel/2017-March/007508.html
Thanks for another nice hansl prototype! I've now implemented this in C
and you can access it after estimating a VAR, with
It's very nice to have this type of test natively implemented now.
modtest [horizon] --arch --multivariate
(--multivariate is currently a "secret" option).
However, couldn't we just use the option "--march" instead of "--arch
--multivariate" ?
Artur