[Gretl-devel] modtest option --xdepend

Sven Schreiber svetosch at gmx.net
Fri Aug 12 15:04:33 EDT 2016


Am 12.08.2016 um 20:45 schrieb Allin Cottrell:
> On Fri, 12 Aug 2016, Sven Schreiber wrote:

>>
>> I have to admit I'm not up to date on this particular topic, i.e.
>> whether there's a consensus view or diffferent preferences. Does
>> anybody know more about these tests?
>
> So far I've just worked from Pesaran's 2004 paper and the Stata Journal
> article on the "xtcsd" command from 2006. Stata supports a couple of
> other tests; they seem a bit fiddly to me and I haven't yet investigated
> how well motivated they are, but it may be worth looking into them.
>
> The new "modtest" option is open to extension, via the syntax
> --xdepend=method, if we reckon that's worth doing.

Very good. We could ask on the users' list if anybody endorses another test.

thanks,
sven


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