qstats |

Multivariate residual autocorrelation Portmanteau tests.

Syntax

var_name.qstats(h, options)

You must specify the highest order of lag h to test for serial correlation. h must be larger than the VAR lag order.

Options

name=arg | Save Q-statistics in the named matrix object. The matrix has two columns: the first column contains the unmodified Q-statistic; the second column contains the modified Q-statistics. |

prompt | Force the dialog to appear from within a program. |

p | Print the Portmanteau test results. |

Examples

var var1.ls 1 6 lgdp lm1 lcpi

show var1.qstats(l0, name=q)

The first line declares and estimates a VAR. The second line displays the portmanteau tests for lags up to 10, and stores the Q-statistics in a matrix named Q.

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.