wald_omit_F ()

double
wald_omit_F (const int *list,
             MODEL *pmod);

Simple form of Wald F-test for omission of variables. If list is non-NULL, do the test for the omission of the variables in list from the model pmod . Otherwise test for omission of all variables in pmod except for the constant.

wald_omit_chisq ()

double
wald_omit_chisq (const int *list,
                 MODEL *pmod);

Simple form of Wald chi-square for omission of variables. If list is non-NULL, do the test for the omission of the variables in list from the model pmod . Otherwise test for omission of all variables in pmod except for the constant.

add_test ()

int
add_test (MODEL *pmod,
          const int *addvars,
          DATASET *dset,
          gretlopt opt,
          PRN *prn);

Performs an LM test on pmod for the null hypothesis that the addvars variables do not contribute significant explanatory power.

add_test_full ()

int
add_test_full (MODEL *orig,
               MODEL *pmod,
               const int *addvars,
               DATASET *dset,
               gretlopt opt,
               PRN *prn);

Re-estimate a given model after adding the specified variables, and records a joint test on the additional variables.

omit_test ()

int
omit_test (MODEL *pmod,
           const int *omitvars,
           DATASET *dset,
           gretlopt opt,
           PRN *prn);

Performs a Wald test on pmod for the null hypothesis that the omitvars variables do not contribute explanatory power.

omit_test_full ()

int
omit_test_full (MODEL *orig,
                MODEL *pmod,
                const int *omitvars,
                DATASET *dset,
                gretlopt opt,
                PRN *prn);

Re-estimate a given model after removing the variables specified in omitvars . Or if OPT_A is given, proceed sequentially, at each step dropping the least significant variable provided its p-value is above a certain threshold (currently 0.10, two-sided).

nonlinearity_test ()

int
nonlinearity_test (MODEL *pmod,
                   DATASET *dset,
                   ModelAuxCode aux,
                   gretlopt opt,
                   PRN *prn);

Run an auxiliary regression to test pmod for nonlinearity, via the addition of either squares or logs of the original indepdendent variables.

reset_test ()

int
reset_test (MODEL *pmod,
            DATASET *dset,
            gretlopt opt,
            PRN *prn);

Carries out and prints Ramsey's RESET test for model specification.

autocorr_test ()

int
autocorr_test (MODEL *pmod,
               int order,
               DATASET *dset,
               gretlopt opt,
               PRN *prn);

Tests the given model for autocorrelation of order equal to the specified value, or equal to the frequency of the data if the supplied order is zero.

comfac_test ()

int
comfac_test (MODEL *pmod,
             DATASET *dset,
             gretlopt opt,
             PRN *prn);

If pmod was estimated via an AR(1) estimator, run an auxiliary regression to test the implied common-factor restriction.

get_DW_pvalue_for_model ()

double
get_DW_pvalue_for_model (MODEL *pmod,
                         DATASET *dset,
                         int *err);

Computes the p-value for the Durbin-Watson statistic for the given model, using the Imhof method.

chow_test ()

int
chow_test (int splitobs,
           MODEL *pmod,
           DATASET *dset,
           gretlopt opt,
           PRN *prn);

Tests the given model for structural stability (Chow test) using the sample break-point given by splitobs and prints the results to prn . (The second portion of the sample runs from observation splitobs to the end of the original sample range.)

chow_test_from_dummy ()

int
chow_test_from_dummy (int splitvar,
                      MODEL *pmod,
                      DATASET *dset,
                      gretlopt opt,
                      PRN *prn);

Tests the given model for structural stability (Chow test), using the dummy variable specified by splitvar to divide the original sample range of pmod into two portions.

QLR_test ()

int
QLR_test (MODEL *pmod,
          DATASET *dset,
          gretlopt opt,
          PRN *prn);

Tests the given model for structural stability via the Quandt Likelihood Ratio test for a structural break at an unknown point in the sample range.

QLR_pval ()

double
QLR_pval (double X2,
          int df,
          double p1,
          double p2);

cusum_test ()

int
cusum_test (MODEL *pmod,
            DATASET *dset,
            gretlopt opt,
            PRN *prn);

Tests the given model for parameter stability via the CUSUM test, or if opt includes OPT_R, via the CUSUMSQ test; OPT_Q makes the test quiet; OPT_U governs the associated plot, if wanted.

panel_specification_test ()

int
panel_specification_test (MODEL *pmod,
                          DATASET *dset,
                          gretlopt opt,
                          PRN *prn);

Tests the given pooled model for fixed and random effects.

panel_hausman_test ()

int
panel_hausman_test (MODEL *pmod,
                    DATASET *dset,
                    gretlopt opt,
                    PRN *prn);

vif_test ()

int
vif_test (MODEL *pmod,
          DATASET *dset,
          gretlopt opt,
          PRN *prn);

Calculates and displays the Variance Inflation Factors for the independent variables in the given model.

bkw_test ()

int
bkw_test (MODEL *pmod,
          DATASET *dset,
          gretlopt opt,
          PRN *prn);

Calculates and displays the Belsley-Kuh-Welsch collinearity diagnostics for pmod .

leverage_test ()

int
leverage_test (MODEL *pmod,
               DATASET *dset,
               gretlopt opt,
               PRN *prn);

Tests the data used in the given model for points with high leverage and influence on the estimates.

add_leverage_values_to_dataset ()

int
add_leverage_values_to_dataset (DATASET *dset,
                                gretl_matrix *m,
                                gretlopt opt,
                                int flags);

Adds to the working dataset one or more series calculated by the gretl test for leverage/influence of data points.

print_add_omit_null ()

void
print_add_omit_null (const int *list,
                     const DATASET *dset,
                     gretlopt opt,
                     PRN *prn);

enum SeriesSaveCode

enum ModelAuxCode

Symbolic names to keep track of auxiliary regression models, which are estimated either for the purpose of carrying out some sort of diagnostic test or which form part of a multi-equation system.