VAR diagnostic tests
Posted: 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 !
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 !