testing for heteroskedasticity in VECM

[Hamid muili]

In estimating time series Vector error correction model in stata using the Vec command, i observe that the only post estimation diagnostic the stability, autocorrelation and normality test is the available post estimation test. is there a way to test for heteroskdasticity too. just as it can be seen in other software like Eviews. i tried using estat hettest, but it shows invalid.

[Manh Hoang Ba]

Hi Hmid muili,
I wrote a post-estimation command called veclmhet 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