qstats |

Multivariate residual autocorrelation Portmanteau tests.

Syntax

system_name.qstats(h, options)

You must specify the highest order of lag h to test for serial correlation .

Options

maxlag=arg | Maximum lag in system specification (default=0). |

chol | Standardized residuals factorized using the inverse of Cholesky factor of the (conditional) covariance matrix (for system ARCH). |

cor | Standardized residuals factorized using the inverse square root of the (conditional) correlation matrix (for system ARCH). |

cov | Standardized residuals factorized using the inverse square root of the (conditional) covariance matrix (for system ARCH). |

prompt | Force the dialog to appear from within a program. |

p | Print the Portmanteau test results. |

Examples

show sys1.qstats(l0)

displays the portmanteau tests for lags up to 10.

Cross-references