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The unrestricted VAR(2)

The unrestricted VAR(2). ECM representations. Ecm with m=1. Misspecification tests. Information criteria. Choice of lag length. Trace correlation. = 0.40. Tests of residual autocorrelation. Tests of residual heteroscedasticity. Normality. Skewness and excess kurtosis

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The unrestricted VAR(2)

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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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