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On Wed, 21 May 2008, Yuniarto Hadiwibowo wrote:
I am starting to use Gretl for analyzing VECM.
Welcome to gretl!
I use testuhat to check the normality of the residual and it
works. I tried lmtest, but it didn't work for VECM. How to check
the possibility of autocorrelation?
Not all of the lmtest options work for VECM, but you should be
able to get equation-by-equation autocorrelation tests using
lmtest --autocorr
However, having just tested this I see something is wrong with the
output -- we'll fix that shortly. In the meantime, you can get
correct results using the graphical interface: estimate the VECM
then select Autocorrelation under the Tests menu in the output
window.
Allin Cottrell
On Thu, 22 May 2008, Allin Cottrell wrote:
Not all of the lmtest options work for VECM, but you should be
able to get equation-by-equation autocorrelation tests using
lmtest --autocorr
However, having just tested this I see something is wrong with the
output -- we'll fix that shortly.
This is now fixed in gretl CVS; however, the bad output is
confined to the case where no lag order is given. You should get
correct results if you give an order -- for example,
lmtest 4 --autocorr
to get tests for autocorrelation up to order 4.
Allin Cottrell
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Yuniarto Hadiwibowo