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.
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/a/armadiag.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/a/armadiag.hlp help file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s456923

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics
Address: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Contact information at EDIRC.
Series data maintained by Christopher F Baum ().