Re: Re: [Gretl-users] variance-ratio tests - Gretl-users

Re: cannot forecast with Nonlinear...

Setting range for a year.

arshad arif

Tuesday, 30 December 2008 Tue, 30 Dec '08

5:24 p.m.

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Stefan Grosse

Tuesday, 30 December Tue, 30 Dec

8:26 p.m.

New subject: variance-ratio 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.

Alternatively you could look at the vrtest package of R. hth Stefan

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arshad arif
Stefan Grosse