Part VII. Econometric tests and diagnostics

Table of Contents

AndPlob — Andrews and Ploberger brekapoint tests
archz — ARCH test
archz0 — ARCH test
arlm — Lagrange multiplier autocorrelation test
arlm0 — Lagrange multiplier autocorrelation test
bkw — BKW multicollinearity diagnostic
bkw_scale — BKW scaled multicollinearity diagnostic
bkwols — BKW scaled multicollinearity diagnostic
bpagan — Breusch and Pagan heteroskedasticity test
bpagan0 — Breusch and Pagan heteroskedasticity test
chowtest — Chow usual test
chowtest0 — Chow usual test
clwest — Approximately normal test proposed by Clark and West (include test of martingal difference hypothesis)
cusumb — backward cusum stability tests
cusumf — forward cusum stability tests
cusumq_tab — cusum squared confidence band
dchange — Test for directional accuracy
des_stat — basic statistics
dfbeta — BKW influential observation diagnostics
diebmar — Diebold and Mariano test for predictive accuracy
doornhans — Doornik and Hansen normality test
doornhans0 — Doornik and Hansen normality test
hetero_sq — Xiª heteroskedasticity test
hetero_sq0 — Xiª heteroskedasticity test
jbnorm — Jarque and Bera normality test on the residuals of a regression
jbnorm0 — Jarque and Bera normality test on the residuals of a regression
jbnorm_var1 — Jarque and Bera normality test on the residuals of a regression
li_mcleod — Li McLeod autocorrelation test
ljungbox — Ljung-Box autocorrelation test
predfail — out of sample predictive failure test
predfailin — Chow predictive failure test
predfailin0 — Chow predictive failure test
recresid — recursive residuals
reliability — reliability of the coefficients in a regression
reset — Ramsey RESET test
reset0 — Ramsey RESET test
waldchi — Wald F-test
waldf — Wald F-test
waldf0 — Wald F-test
white — White's heteroskedasticity test
white0 — White's heteroskedasticity test