RESDIAG: RATS module to perform residual diagnostics

Robert Amano, Jeff Gable and Simon van Norden ()
Additional contact information
Jeff Gable: Bank of Canada

Statistical Software Components from Boston College Department of Economics

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.

Language: RATS
Requires: RATS version 4
Keywords: residuals; diagnostics (search for similar items in EconPapers)
Date: 2000-03-17
Note: This module is copyright 1993 by Bank of Canada.
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http://fmwww.bc.edu/repec/bocode/r/resdiag.src program code (text/plain)

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