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

Sune Karlsson ()

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: Stata
Requires: Stata version 9
Keywords: ARCH; residual diagnostics; time series; Q statistic; autocorrelation (search for similar items in EconPapers)
Date: 2008-04-07
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.
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Handle: RePEc:boc:bocode:s456923