MV-AR: GAUSS module to calculate three multivariate tests for autocorrelation in VAR model
AbstractThis GAUSS module implements three multivariate tests for autocorrelation-namely multivariate the LM test, the multivariate F-test and the multivariate portmanteau test-in the VAR model. The output of the module is the corresponding p-value of each test for each autocorrelation order. Among these tests, the modified LM test suggested by Hatemi-J (2004) has the best performance. The modification is based on an Edgeworth expansion. For technical description see Hatemi-J A. (2004) Multivariate tests for autocorrelation in the stable and unstable VAR models, Economic Modelling, 21, 661-683.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number G00011.
Programming language: GAUSS
Date of creation: 21 May 2010
Date of revision:
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
If references are entirely missing, you can add them using this form.