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test_varspec0

three default specification tests for VAR estimation

CALLING SEQUENCE

[v,p]=test_varspec0(r)

PARAMETERS

Input

* r = a results tlist from a VAR regression

 

Output

* v = (3 x 1) vector of statistics of specification tests

* p = (3 x 1) vector of p-values of specification tests

DESCRIPTION

Provides the vectors of 3 statistics of specification tests (the Doornik and Hansen normality test, the Breusch-Pagan autocorrelation test, the heteroscedasticity test, in that order) and their p-values.

EXAMPLE

global GROCERDIR;
load(GROCERDIR+'/data/lutk1.dat')
bounds('1960q4','1978q4')
results=VAR(2,'endo=delts(log(rfa_inv));delts(log(rfa_inc));delts(log(rfa_cons))')
[v,p]=test_varspec0(results)
// provides the 3 specification tests on Lüktepohl's VAR model.
// NB: the results show that the normality hypothesis is rejected even at a 1% level (the other tests are accepted even at a 10% level).

AUTHOR

Eric Dubois 2013

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