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RESDIAG: RATS module to perform residual diagnostics

Author

Listed:
  • Robert Amano

    (Bank of Canada)

  • Jeff Gable

    (Bank of Canada)

  • Simon van Norden

    () (Ecole des H.E.C.)

Abstract

This procedure calculates a number of residual diagnostic tests: autocorrelations, partial autocorrelations, Ljung-Box Q tests, LM tests for serial correlation, AR tests, Wallis tests for 4th order AR, ARCH, Breusch-Pagan test for heteroskedasticity, and Ramsay RESET test.

Suggested Citation

  • Robert Amano & Jeff Gable & Simon van Norden, 2000. "RESDIAG: RATS module to perform residual diagnostics," Statistical Software Components R031701, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:r031701
    Note: This module is copyright 1993 by Bank of Canada.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/r/resdiag.src
    File Function: program code
    Download Restriction: no

    Citations

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    Cited by:

    1. de Mello Luiz & Moccero Diego & Mogliani Matteo, 2013. "Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 141-165, April.
    2. María Cuenca Coral, Felipe Amaya, Bryan Castrillón, 2015. "La política monetaria y el crecimiento económico en Colombia, 1990-2010," REVISTA CIFE, UNIVERSIDAD SANTO TOMÁS, February.
    3. Carlos Fernando Daza Moreno & Jorge Mario Uribe, 2016. "Efectos de los cambios de la tasa de interés de Estados Unidos sobre Colombia, Perú y Chile," REVISTA DE ECONOMÍA DEL CARIBE 014794, UNIVERSIDAD DEL NORTE.
    4. Andrés Felipe Londoño & Jorge Andrés Tamayo & Carlos Alberto Velásquez, 2012. "Dinámica de la política monetaria e inflación objetivo en Colombia: una aproximación FAVAR," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 30(68), pages 14-71, June.
    5. Pavel Vidal & Gilberto Ramírez & Lya Paola Sierra, 2018. "¿Por qué el Valle del Cauca ha crecido más que el promedio nacional? Un análisis regional de los ciclos y los choques económicos," Working Papers 33, Faculty of Economics and Management, Pontificia Universidad Javeriana Cali.
    6. Franz Hamann & Juan Manuel Julio & Paulina Restrepo & Alvaro Jose Riascos Villegas, 2004. "Inflation Targeting In A Small Open Economy: The Colombian Case," BORRADORES DE ECONOMIA 002855, BANCO DE LA REPÚBLICA.
    7. Luiz De Mello & Diego Moccero, 2009. "Monetary Policy and Inflation Expectations in Latin America: Long-Run Effects and Volatility Spillovers," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(8), pages 1671-1690, December.
    8. Franz Hamann Salcedo & Juan Manuel Julio & Paulina Restrepo, 2004. "Inflation Targeting in a Samll Open Economy: The Colombian Case," Borradores de Economia 308, Banco de la Republica de Colombia.

    More about this item

    Keywords

    residuals; diagnostics;

    Statistics

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