Re: [Gretl-users] breusch-godfrey test of autocorrelation
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On Tue, 14 Dec 2010, Samrat Sanyal wrote:
Thanks for the help.I am basically looking for a suitable
autocorrelation test in lagged independent variable-included
regression for a few financial time series,so the first 'general' test
that came to me was breusch godfrey.are there any other tests
available in gretl for the purpose?
The test available in gretl is indeed Breusch-Godfrey. However,
the test statistic that we report first in relation to this test
is Kiviet's LMF, which has better small-sample properties that
TR^2.
Allin Cottrell
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Allin Cottrell