Hey Allin,

definitely it is simple to run the test by hand. But I was just thinking that in the case gretl already runs a test itself, why not to allow to access the test results... ;-)

Best,
Artur


2012/5/22 Allin Cottrell <cottrell@wfu.edu>
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
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