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RESDIAG: RATS module to perform residual diagnostics

Author

Listed:
  • Robert Amano

    (Bank of Canada)

  • Jeff Gable

    (Bank of Canada)

  • Simon van Norden

    (Ecole des H.E.C.)

Programming Language

RATS

Abstract

This procedure calculates a number of residual diagnostic tests: autocorrelations, partial autocorrelations, Ljung-Box Q tests, LM tests for serial correlation, AR tests, Wallis tests for 4th order AR, ARCH, Breusch-Pagan test for heteroskedasticity, and Ramsay RESET test.

Suggested Citation

  • Robert Amano & Jeff Gable & Simon van Norden, 2000. "RESDIAG: RATS module to perform residual diagnostics," Statistical Software Components R031701, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:r031701
    Note: This module is copyright 1993 by Bank of Canada.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/r/resdiag.src
    File Function: program code
    Download Restriction: no
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    More about this item

    Keywords

    residuals; diagnostics; RATS;
    All these keywords.

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