Is it possible to do the q test on the squared residual

Questions and discussions on Vector Autoregressions
Post Reply
yangdashan
Posts: 8
Joined: Sun Aug 25, 2019 11:59 am

Is it possible to do the q test on the squared residual

Unread post by yangdashan »

Dear Tom,

Is it possible to do the q test on the squared residuals of VAR? I know the @mvarchtest procedure but still wondering an alternative.

Thanks a lot
Bill
Top
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Is it possible to do the q test on the squared residual

Unread post by TomDoan »

A Q-test on the squared residuals is the McLeod-Li test.
Top
Post Reply

Return to “VARs (Vector Autoregression Models)”