Re: [Gretl-users] accessing the LR test for (G)ARCH terms after GARCH estimation
On Mon, 21 May 2012, artur tarassow wrote:
I tried to access the LR-test test statistics and p-value for (G)ARCH
terms
after estimating a GARCH like this:
<hansl>
open b-g.gdt
dY = diff(Y)
garch 1 1 ; dY const --stdresid
<hansl>
but I could not find any accessors.
I guess we could use the $chisq accessor for that purpose.
I was just thinking whether it makes sense to activate the
'modtest' option for this kind of models as well?
Presumably only when using the --stdresid option, which would
be a bit awkward. Easy enough to save the standardized
residuals and run tests on them?
Allin Cottrell