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Evaluating ECM Representations and Statistical Tests for VAR Models

Explore unrestricted VAR(2) ECM representations, misspecification tests, choice of lag length, residual correlation, autocorrelation, heteroscedasticity tests, and normality checks. Includes Jarque-Bera, Doornik-Hansen, and Bowman-Shenton tests.

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Evaluating ECM Representations and Statistical Tests for VAR Models

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  1. The unrestricted VAR(2)

  2. ECM representations

  3. Ecm with m=1

  4. Misspecification tests

  5. Information criteria

  6. Choice of lag length

  7. Trace correlation = 0.40

  8. Tests of residual autocorrelation

  9. Tests of residual heteroscedasticity

  10. Normality • Skewness and excess kurtosis • Univariate normality tests (Jarque-Bera) • Mulivariate normallity test (Doornik-Hansen)

  11. Univariate Normality tests

  12. Asymptotic normality tests Univariate Jarque-Bera type of test: Multivariate Jarque-Bera type of test:

  13. Approximate normality tests

  14. Multivariate Bowman-Shenton normality test

  15. What about the other tests?

  16. The univariate normality tests

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