testlags |

Perform lag exclusion (Wald) tests on a VAR.

Syntax

var_name.testlags(options)

Options

name=arg | Save the Wald test statistics in named matrix object. See below for a description of the statistics contained in the stored matrix. |

p | Print the result of the test. |

The “name=” option stores results in an matrix, where is the number of lagged terms and is the number of endogenous variables in the VAR. In the first columns, the i-th row, j-th column entry is the Wald statistic for the joint significance of all i-th lagged endogenous variables in the j-th equation. These Wald statistics have a distribution with degrees of freedom under the exclusion null.

In the last column, the i-th row contains the system Wald statistic for testing the joint significance of all i-th lagged endogenous variables in the VAR system. The system Wald statistics has a chi-square distribution with degrees of freedom under the exclusion null.

Examples

var var1.ls 1 6 lgdp lm1 lcpi

freeze(tab1) var1.testlags(name=lags)

The first line declares and estimates a VAR. The second line stores the lag exclusion test results in a table named TAB1, and stores the Wald statistics in a matrix named LAGS.

Cross-references

See
“Diagnostic Views” for a discussion other VAR diagnostics.

See also
Var::laglen and
Var::testexog.