Model Diagnostics

Nektarios Michail ()
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Nektarios Michail: Bank of Cyprus, Economic Research

Chapter Chapter 2 in Understanding Vector Autoregressions, 2026, pp 17-23 from Springer

Abstract: Abstract The most important aspects of statistical fit and overall diagnostics for a VAR model are covered in this chapter. In particular, VAR stationarity is examined, with an intuitive and statistical understanding of how characteristic roots work and what they provide. Residual diagnostics are also covered, namely the LM autocorrelation and normality tests. The notion of spurious relationships is also explored, providing details and intuition as regards what makes this so important.

Keywords: VAR stationarity; Characteristic roots; Eigenvalues; LM test; Normality Test; Spurious (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-032-19604-0_2

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DOI: 10.1007/978-3-032-19604-0_2

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