The RATS Software Forum

Posted: **Mon Sep 02, 2019 12:18 pm**

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

Posted: **Mon Sep 02, 2019 1:08 pm**

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

The RATS Software Forum

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

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

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