I am searching for a procedure that tests the properties of VAR residuals; autocorrelation, normality, cross equations correlation.
I would like to use these properties to detremine the number of lags of the VAR model as I have a limited number of data.
AhmedSahlool wrote:The VAR that I estimate has non constant variances.
I read that the MVQSTAT is not consistent in this case, are there other alternatives?
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