[Gretl-users] Tests for Random Residuals

[Allin Cottrell]

On Sun, 30 Mar 2008, Thomas La Bone wrote:

> About two months ago when I first started working with Gretl I 
> asked if Gretl has tests for randomness of model residuals 
> (accessible from either the GUI or the command line). I got a 
> number of fairly non-specific responses like "look at the 
> documentation" and "look at the menus on the windows". Well, 
> after two months of working with Gretl I am now a hardened 
> veteran and ready to ask the question again:
> 
> The only mention of a test for randomness I can find is the 
> non-parametric runs test. Can Gretl do a Ljung-Box test (or some 
> other test I am not familiar with) of the randomness of 
> residuals? Thanks in advance for any advice you may offer.

"Testing for randomness" as such is not very well defined.  But if 
it's serial independence you're interested in, there's the 
Breusch-Godfrey LM test ("Autocorrelation" in the model test menu, 
"lmtest" on the command line).  There's also the ljungbox 
function, recently added in CVS and the Windows snapshot.

Allin Cottrell