three default specification tests for VAR estimation
[v,p]=test_varspec0(r)
* r = a results tlist from a VAR regression
* v = (3 x 1) vector of statistics of specification tests
* p = (3 x 1) vector of p-values of specification tests
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). | ![]() | ![]() |