VAR diagnostic tests

Questions and discussions on Vector Autoregressions

VAR diagnostic tests

Unread postby idomen » Tue May 18, 2021 10:45 am

Dear Forum participants

I 'd like to have your advice of how to perform diagnostic test for my VAR model using ESTIMATE instruction
For example
1. Inverse roots of characteristic AR polynomial Lütkepohl (1991).
2.Box-Pierce/Ljung-Box Q-statistics for residual serial correlation
3.White Heteroskedasticity Test Kelejian (1982) and Doornik (1995)
4.Johansen Cointegration Test

I am thanking you in advance for your advice !
idomen
 
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