Object Reference : Object View and Procedure Reference : System
  
 
qstats
Multivariate residual autocorrelation Portmanteau tests.
Syntax
system_name.qstats(h, options)
You must specify the highest order of lag h to test for serial correlation .
Options
 
maxlag=arg
Maximum lag in system specification (default=0).
chol
Standardized residuals factorized using the inverse of Cholesky factor of the (conditional) covariance matrix (for system ARCH).
cor
Standardized residuals factorized using the inverse square root of the (conditional) correlation matrix (for system ARCH).
cov
Standardized residuals factorized using the inverse square root of the (conditional) covariance matrix (for system ARCH).
prompt
Force the dialog to appear from within a program.
p
Print the Portmanteau test results.
Examples
show sys1.qstats(l0)
displays the portmanteau tests for lags up to 10.
Cross-references
See “Diagnostic Views” for a discussion of the Portmanteau tests and other VAR diagnostics.
See Var::arlm for a related multivariate residual serial correlation LM test.