MV-AR: GAUSS module to calculate three multivariate tests for autocorrelation in VAR model

R Scott Hacker and Abdulnasser Hatemi-J

Statistical Software Components from Boston College Department of Economics

Abstract: This GAUSS module implements three multivariate tests for autocorrelation-namely multivariate the LM test, the multivariate F-test and the multivariate portmanteau test-in the VAR model. The output of the module is the corresponding p-value of each test for each autocorrelation order. Among these tests, the modified LM test suggested by Hatemi-J (2004) has the best performance. The modification is based on an Edgeworth expansion. For technical description see Hatemi-J A. (2004) Multivariate tests for autocorrelation in the stable and unstable VAR models, Economic Modelling, 21, 661-683.

Language: GAUSS
Requires: GAUSS
Keywords: autocorrelation; VAR (search for similar items in EconPapers)
Date: 2010-05-21
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