ARMADIAG: Stata module to compute post-estimation residual diagnostics for time series
Abstractarmadiag is a post-estimation diagnostic tool for use after arch, arima or regress. The residuals (standardized residuals with arch) are plotted together with autocorrelations, partial autocorrelations and p-values of the Ljung-Box Q-statistic. The variable varname is used instead of residuals if varname is specified. Optionally the square of the variable/residuals/standardized residuals is used to allow detection of (remaining) ARCH-effects.
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 S456923.
Programming language: Stata
Requires: Stata version 9
Date of creation: 07 Apr 2008
Date of revision:
Note: This module should be installed from within Stata by typing "ssc install armadiag". Windows users should not attempt to download these files with a web browser.
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.