Hi all,
I've discovered what I think is a minor bug in the modtest command: if I use it right
after estimating a VAR or VECM, the --quiet option has no effect. The auxilliary
regressions are printed with or without that option.
I also have a question about the $test and $pvalue accessors in these cases. At the
moment, they're scalars containing the respective quantities from the test on the last
equation. Would it be possible to have them return vectors containing the p-values/test
stats from each equation?
TIA,
PS