About this document
Statistical Methods for Finance in Stata by ppec is a document available to read on EtoBox.
This document provides an overview of VAR (Vector Autoregression) and VECM (Vector Error Correction Model) diagnostics and how to implement them in Stata. It discusses lag order selection using likelihood ratio tests and information criteria, testing the whiteness of residuals using portmanteau and Lagrange multiplier tests, and checking the normality and stability of residuals. The document also introduces the concepts of VAR, VECM and cointegration.
- Author
- ppec
- Language
- EN