El 12/10/11 05:37, Muheed Jamaldeen escribió:
> Thanks for that Allin.
>
>
> [...]
> While we're on the subject, is there a script for a portmanteau test for
> auto correlation?
We have the Ljung-Box Q statistic and p-value in the text window of the
correlogram command 'corrgm'.
--
Ignacio
On Thu, 13 Oct 2011, Ignacio Diaz-Emparanza wrote:
> El 12/10/11 05:37, Muheed Jamaldeen escribió:
>> Thanks for that Allin.
>>
>>
>> [...]
>> While we're on the subject, is there a script for a portmanteau test for
>> auto correlation?
>
> We have the Ljung-Box Q statistic and p-value in the
Thanks for that Allin.
I thought I'd clarify the point regarding the autocorrelation test which was
unclear in my previous email. The sample period 1985:01 to 2009:04 is chosen
for specific reasons relating to stability and floating of the exchange
rate. If the autocorrelation test (automatic)
Hi all,
I've been using the modtest --autocorr option to test for autocorrelation in
a VAR model. I set the sample 1985 01 - 2009 04 (100 observations). The
automatic test and the manually specified LM test calculation do not yield
the same result because the former (automatic) uses observations
Am 12.10.2011 05:37, schrieb Muheed Jamaldeen:
>
> And using the var option in Gretl what's the best way to specify
> heterogeneous (in variables) equation structure? (e.g. to impose block
> exogeniety for a small open economy VAR)
>
> eg.
> Y = Y-1 + X-1 + Z-1
> X= X-1 + Z-1
> Z=X-1 + Z-1
>
On Wed, 12 Oct 2011, Muheed Jamaldeen wrote:
> I've been using the modtest --autocorr option to test for
> autocorrelation in a VAR model. I set the sample 1985 01 - 2009 04
> (100 observations). The automatic test and the manually specified
> LM test calculation do not yield the same result
