Object Reference : Object View and Procedure Reference : Var
  
 
arlm
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.