Re: [Gretl-users] variance-ratio tests
On Sat, 27 Dec 2008, arshad arif wrote:
i am a new user of gretl. i have a problem i want to perform Lo
and MacKinlay's variance ratio test and multiple variance ratio
(MVR) Chow and Denning test
is it possible to perform this test by using this software .if
yes would you please help me in this regard how can i perform
these tests.
The Lo-MacKinlay test is implemented in a function package that
you can download. Go to /File/Function files/On server and look
for lomackinlay. The Chow-Denning test is not implemented, though
I suppose it would not be very difficult to program in gretl.
Allin Cottrell