Multivariate Q Stat
Posted: Fri Nov 27, 2015 4:31 pm
Dear Tom,
I am studying GARCH e-course workbook. In page 84 it is said that"...if we were using a VAR with lags, we would need to include DFC option on @MVQSTAT ...".
I have a question. If is just estimate a VAR model without GARCH errors, do I still need to include DFC option?
I am studying GARCH e-course workbook. In page 84 it is said that"...if we were using a VAR with lags, we would need to include DFC option on @MVQSTAT ...".
I have a question. If is just estimate a VAR model without GARCH errors, do I still need to include DFC option?