Hi,
I was checking the status quo of specification tests for (or against...)
nonlinearity in gretl.
In the guide a quick search didn't reveal anything.
In the command reference for "modtest" I see two options labeled "--logs
(nonlinearity, logs)" and "--squares (nonlinearity, squares)". But the
description doesn't provide more information apart from being a LM-type
test. Is there more information somewhere?
Furthermore, it suggests that those tests only apply to ols estimation,
but my idea was to run a check after an ARMA model. Perhaps we could try
to implement something that works there?
thanks
sven