Perform multivariate residual serial correlation LM test using an estimated Var.
Syntax
var_name.arlm(h, options)
You must specify the highest order of lag, h, for which to test.
Options
name=arg | Save LM statistics in named matrix object. The matrix has h rows and one column. |
prompt | Force the dialog to appear from within a program. |
p | Print test output. |
Examples
var var1.ls 1 6 lgdp lm1 lcpi
show var1.arlm(12,name=lmout)
The first line declares and estimates a VAR with 6 lags. The second line displays the serial correlation LM tests for lags up to 12 and stores the statistics in a matrix named LMOUT.
Cross-references
See
“Diagnostic Views” for other VAR diagnostics. See also
Var::qstats for related multivariate residual autocorrelation Portmanteau tests.