Improved VAR Serial Correlation Testing

Prior versions of EViews computed the multivariate LM test statistic for residual correlation at a specified order using the LR form of the Breusch-Godfrey test with an Edgeworth expansion correction (Johansen 1995, Edgerton and Shukur 1999).


EViews 10 offers two substantive improvements for testing VAR serial correlation.

First, in addition to testing for autocorrelation at specified orders, EViews now also tests jointly for autocorrelation for lags 1 to s.

Second, EViews augments the Edgeworth LR form of the test with the Rao F-test version of the LM statistic as described Edgerton and Shukur (1999) whose simulations suggest it performs best among the many variants they consider.