STAMPDIAGS: RATS procedure to perform a standard battery of specification tests for a state space model

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Produces the standard set of diagnostics for a (univariate) state-space model used by the STAMP(tm) software. This includes a Q test for serial correlation, Normality test, and Goldfeld-Quandt type heteroscedasticity test.

Language: RATS
Requires: RATS 7.30
Keywords: State-space models; stability tests (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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https://www.estima.com/procs_perl/stampdiags.src (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00200

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