Dear Gretl users,

I have to test the linearity vs non-lineraity of my system. To doing that, I need to use (no alternative) the Rao test, as in Terasvirta (2013). Then, I specify :

p=4

cdZ=3 #column dimension of vector Z---contains the interaction terms btw lagged variables and TV

cdX=3 #column dimension of vector X--lagged variables

scalar s=((cdZ^2*p^2-4)/(p^2+cdZ^2-5))^1/2

scalar n=126-cdX-(1/2)*(p+cdZ+1)

scalar z1=((n*s-(1/2)*cdZ*p+1)/(cdZ*p))

scalar z2=(n*s-(1/2)*cdZ*p+1)

Notice that RSS1 and RSS2 are matrices of RSS of two regressions. Then, I specify my F Rao test

genr Frao=(((abs(RSS1)/abs(RSS2))^1/s)-1)*z1

the result is matrix Frao

genr J= cdZ*p

genr unrest_df= z2

genr pv1= pvalue( X, J, unrest_df, Fstat)

Gretl tells me that ( Argomento non valido per la funzione)--Argument not valid for the function! I don't understand what happens.

Have somebody any suggestions?

Thanks

Valentina