[Gretl-users] VECM and LM Test

[Allin Cottrell]

On Thu, 22 May 2008, Allin Cottrell wrote:

> Not all of the lmtest options work for VECM, but you should be 
> able to get equation-by-equation autocorrelation tests using
> 
>   lmtest --autocorr
> 
> However, having just tested this I see something is wrong with the 
> output -- we'll fix that shortly.  

This is now fixed in gretl CVS; however, the bad output is 
confined to the case where no lag order is given.  You should get 
correct results if you give an order -- for example,

  lmtest 4 --autocorr

to get tests for autocorrelation up to order 4.

Allin Cottrell