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autoregress
2006 Mar 13
1
Vector Autoregeressive Models: Adequation tests to perform
Hello,
I am currently testing a Vector AR of dim 3 over not a lot of data (135
* 3 observations) . To test the adequation of my vecot ar, I use the
Schwarz Bayesian Criterion and the classic modified Portmanteau test on
the residuals (it can be found for instance in
http://www.iue.it/PUB/ECO2004-8.pdf , page 15) -> the null hypothesis is
"the residuals process are a vectorila white