<< Single equation regressions
Grocer
Unit roots and cointegration >>
Grocer
>> Econometric tests and diagnostics
Econometric tests and diagnostics
AndPlob
—
Andrews and Ploberger brekapoint tests
archz
—
ARCH test
archz0
—
ARCH test
arlm
—
Lagrange multiplier autocorrelation test
arlm0
—
Lagrange multiplier autocorrelation test
arlm0_multi
—
LM multivariate test of autocorrelation
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
—
Xi² heteroskedasticity test
hetero_sq0
—
Xi² heteroskedasticity test
hetero_sq0_multi
—
LM multivariate test of heteroskedasticity
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
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<< Single equation regressions
Grocer
Unit roots and cointegration >>