Test for Resuduals Autocorrelation

Questions and discussions on Vector Autoregressions
lfc160030
Posts: 16
Joined: Wed Apr 15, 2020 7:05 pm

Test for Resuduals Autocorrelation

Unread post by lfc160030 »

Hi Everyone,

Does anyone know if there is a command to check autocrrolation in the residuals of a SVAR with Block Exogeneity?

Thanks so much,

Fernando
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Test for Resuduals Autocorrelation

Unread post by TomDoan »

@MVQSTAT with DFC option equal to the total number of lag coefficients across the model.
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