Re: [Gretl-users] breusch-godfrey test of autocorrelation
Thanks for the help.I am basically looking for a suitable
autocorrelation test in lagged independent variable-included
regression for a few financial time series,so the first 'general' test
that came to me was breusch godfrey.are there any other tests
available in gretl for the purpose?my model is:
dependentvar(at time t)=f(lagged independentvar1, lagged
independentvar 2,..., error)
On 12/13/10, Allin Cottrell <cottrell(a)wfu.edu> wrote:
On Mon, 13 Dec 2010, Sven Schreiber wrote:
> Am 13.12.2010 07:48, schrieb Samrat Sanyal:
> > Gretl users,
> >
> > Is there any option to execute breusch-godfrey autocorrelation test in
> > gretl?
> >
>
> check out the documentation for the 'modtest --autocorr' command. Do you
> need "just" a valid test for autocorrelation, or do you really need
> breusch-godfrey?
Also, in the graphical interface after estimating a model, see
"Autocorrelation" under the tests menu.
Allin Cottrell
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Thanks and Regards,
Samrat Sanyal