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STAMPDIAGS: RATS procedure to perform a standard battery of specification tests for a state space model

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Produces the standard set of diagnostics for a (univariate) state-space model used by the STAMP(tm) software. This includes a Q test for serial correlation, Normality test, and Goldfeld-Quandt type heteroscedasticity test.

Suggested Citation

  • Tom Doan, "undated". "STAMPDIAGS: RATS procedure to perform a standard battery of specification tests for a state space model," Statistical Software Components RTS00200, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00200
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
    as

    Download full text from publisher

    File URL: https://www.estima.com/procs_perl/stampdiags.src
    Download Restriction: no
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