Re: [Gretl-users] Tests for Random Residuals
On Sun, 30 Mar 2008, Thomas La Bone wrote:
About two months ago when I first started working with Gretl I
asked if Gretl has tests for randomness of model residuals
(accessible from either the GUI or the command line). I got a
number of fairly non-specific responses like "look at the
documentation" and "look at the menus on the windows". Well,
after two months of working with Gretl I am now a hardened
veteran and ready to ask the question again:
The only mention of a test for randomness I can find is the
non-parametric runs test. Can Gretl do a Ljung-Box test (or some
other test I am not familiar with) of the randomness of
residuals? Thanks in advance for any advice you may offer.
"Testing for randomness" as such is not very well defined. But if
it's serial independence you're interested in, there's the
Breusch-Godfrey LM test ("Autocorrelation" in the model test menu,
"lmtest" on the command line). There's also the ljungbox
function, recently added in CVS and the Windows snapshot.
Allin Cottrell