ARMADIAG: Stata module to compute post-estimation residual diagnostics for time series
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.
|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
|Order Information:||Web: http://repec.org/docs/ssc.php|
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