On Mon, 21 May 2012, artur tarassow wrote: > I tried to access the LR-test test statistics and p-value for (G)ARCH terms > after estimating a GARCH like this: > > <hansl> > open b-g.gdt > dY = diff(Y) > garch 1 1 ; dY const --stdresid > <hansl> > > but I could not find any accessors.
I guess we could use the $chisq accessor for that purpose. > I was just thinking whether it makes sense to activate the > 'modtest' option for this kind of models as well? Presumably only when using the --stdresid option, which would be a bit awkward. Easy enough to save the standardized residuals and run tests on them? Allin Cottrell
