Re: [Gretl-users] Stock and Watson QLR test (under Win XP)
On Wed, 7 Apr 2010, Franck Nadaud wrote:
Greetings to the GRETL Folk from Paris !
Hello Franck!
I am currently estimating single equation time series models, and i
use the
built-in QLRTEST command.
However, I it seems that one cannot have access to the supWald
statistic of this command inside GRETL, at least from the GUI.
The GRETL manual quotes the Stock and Watson book (2003) for
updated values (from the paper of Andrews, 1993 / corrigenda
2003). Finally, as far as I understand, the tables of Andrews
and Stock/Watson are not fully compatible, while i have the
former. I could not find the Stock/Watson table on the net, and
I dont have the book... Does anybody have a reference where part
of the QLR tables are available ?
Everybody has such a reference, since gretl is open-source.
The QLR test critical values from Stock and Watson are in
gretl's compare.c
http://gretl.cvs.sourceforge.net/viewvc/*checkout*/gretl/gretl/lib/src/co...
Look for "QLR_critvals".
Allin Cottrell