[Gretl-users] variance-ratio tests

Stefan Grosse singularitaet at gmx.net
Tue Dec 30 15:26:43 EST 2008


> The Lo-MacKinlay test is implemented in a function package that
> you can download. Go to /File/Function files/On server and look
> for lomackinlay. The Chow-Denning test is not implemented, though
> I suppose it would not be very difficult to program in gretl.

Alternatively you could look at the vrtest package of R.

hth
Stefan



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