Allin Cottrell | 13 Dec 15:34 2010
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Re: breusch-godfrey test of autocorrelation

On Mon, 13 Dec 2010, Sven Schreiber wrote:

> Am 13.12.2010 07:48, schrieb Samrat Sanyal:
> > Gretl users,
> >
> > Is there any option to execute breusch-godfrey autocorrelation test in
> > gretl?
> >
>
> check out the documentation for the 'modtest --autocorr' command. Do you
> need "just" a valid test for autocorrelation, or do you really need
> breusch-godfrey?

Also, in the graphical interface after estimating a model, see
"Autocorrelation" under the tests menu.

Allin Cottrell
Samrat Sanyal | 14 Dec 06:54 2010
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Re: breusch-godfrey test of autocorrelation

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?my model is:
dependentvar(at time t)=f(lagged independentvar1, lagged
independentvar 2,..., error)

On 12/13/10, Allin Cottrell <cottrell@...> wrote:
> On Mon, 13 Dec 2010, Sven Schreiber wrote:
>
>> Am 13.12.2010 07:48, schrieb Samrat Sanyal:
>> > Gretl users,
>> >
>> > Is there any option to execute breusch-godfrey autocorrelation test in
>> > gretl?
>> >
>>
>> check out the documentation for the 'modtest --autocorr' command. Do you
>> need "just" a valid test for autocorrelation, or do you really need
>> breusch-godfrey?
>
> Also, in the graphical interface after estimating a model, see
> "Autocorrelation" under the tests menu.
>
> Allin Cottrell
> _______________________________________________
> Gretl-users mailing list
> Gretl-users@...
> http://lists.wfu.edu/mailman/listinfo/gretl-users
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