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MV-AR: GAUSS module to calculate three multivariate tests for autocorrelation in VAR model

Author

Listed:
  • Scott Hacker

    () (Jonkoping University, Sweden)

  • Abdulnasser Hatemi-J

    () (UAE University)

Abstract

This 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.

Suggested Citation

  • Scott Hacker & Abdulnasser Hatemi-J, 2010. "MV-AR: GAUSS module to calculate three multivariate tests for autocorrelation in VAR model," Statistical Software Components G00011, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:g00011
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    File URL: http://fmwww.bc.edu/repec/bocode/m/MV-AR.prg
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    Keywords

    autocorrelation; VAR;

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