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ARMADIAG: Stata module to compute post-estimation residual diagnostics for time series

  • Sune Karlsson


    (Örebro University, Sweden)

armadiag 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.

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Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S456923.

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Programming language: Stata
Requires: Stata version 9
Date of creation: 07 Apr 2008
Date of revision:
Handle: RePEc:boc:bocode:s456923
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
Phone: 617-552-3670
Fax: +1-617-552-2308
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