VAR residual heteroskedasticity test

[Orhan Karaca]

Hello,

I wonder whether a program for VAR residual heteroskedasticity test is available in Stata or not?

Thanks
Orhan

[Orhan Karaca]

Hello,

I wrote a program for VAR residual heteroskedasticity test. It can be downloaded here: https://sites.google.com/site/okaraccaeng/code I was waiting for your comment to correct possible mistakes.

Thanks
Orhan

[Ivan Manhique]

Hi Orhan,

I was searching on how to test for heteroskedasticity in Stata and found this thread. However, your link is not working anymore. Do you have an alternative one or could you past the codes here?

Thanks,
Ivan

[Manh Hoang Ba]

Hi Orhan,

I was searching on how to test for heteroskedasticity in Stata and found this thread. However, your link is not working anymore. Do you have an alternative one or could you past the codes here?

Thanks,
Ivan

Hi Ivan,
I wrote a post-estimation command called varlmhet that does the job. You can install it with the command ssc install varlmhet. If that doesn't work, you can visit the following link: [STATA] Test for heteroskedasticity in time-series VAR and VEC model: varlmhet & veclmhet command – Hoàng Bá Mạnh – Kinh tế lượng