VARLMHET: Stata module to calculate heterokedasticity tests for VAR, VEC

Hoàng Bá Mạnh ()
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Hoàng Bá Mạnh: Eureka Uni Team, Vietnam

Statistical Software Components from Boston College Department of Economics

Abstract: This package provides new commands for calculating LM statistics for heteroscedasticity in the residuals of time-series VAR and VEC model, following Doornik (1996).

Language: Stata
Requires: Stata version 11
Keywords: heteroskedasticity; LM statistic; VAR; VEC (search for similar items in EconPapers)
Date: 2025-07-28, Revised 2025-08-02
Note: This module should be installed from within Stata by typing "ssc install varlmhet". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/v/varlmhet.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/v/varlmhet.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/v/veclmhet.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/v/veclmhet.sthlp help file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459488

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