Re: [Gretl-users] VECM and LM Test
On Thu, 22 May 2008, Allin Cottrell wrote:
Not all of the lmtest options work for VECM, but you should be
able to get equation-by-equation autocorrelation tests using
lmtest --autocorr
However, having just tested this I see something is wrong with the
output -- we'll fix that shortly.
This is now fixed in gretl CVS; however, the bad output is
confined to the case where no lag order is given. You should get
correct results if you give an order -- for example,
lmtest 4 --autocorr
to get tests for autocorrelation up to order 4.
Allin Cottrell