Table 4 VAR residual heteroskedasticity... | Emerald Publishing

Table 4

VAR residual heteroskedasticity tests: no cross terms (only levels and squares)

Sample: 2018–2021
Included observations: 1,071
Joint test
Chi-sq	Df	Prob
422.8634	70	0.0000

Individual components
Dependent	R-squared	F(71,063)	Prob	Chi-sq(7)	Prob
res1*res1	0.117816	20.28061	0.0000	126.1811	0.0000
res2*res2	0.086888	14.45011	0.0000	93.05707	0.0000
res3*res3	0.051539	8.251790	0.0000	55.19784	0.0000
res4*res4	0.009689	1.485742	0.1684	10.37694	0.1682
res2*res1	0.077840	12.81831	0.0000	83.36647	0.0000
res3*res1	0.035769	5.633243	0.0000	38.30839	0.0000
res3*res2	0.046729	7.443960	0.0000	50.04662	0.0000
res4*res1	0.002952	0.449630	0.8708	3.161733	0.8696
res4*res2	0.002499	0.380381	0.9141	2.676000	0.9133
res4*res3	0.004776	0.728716	0.6477	5.114858	0.6459

Individual components
Dependent	R-squared	F(71,063)	Prob	Chi-sq(7)	Prob
res1*res1	0.117816	20.28061	0.0000	126.1811	0.0000
res2*res2	0.086888	14.45011	0.0000	93.05707	0.0000
res3*res3	0.051539	8.251790	0.0000	55.19784	0.0000
res4*res4	0.009689	1.485742	0.1684	10.37694	0.1682
res2*res1	0.077840	12.81831	0.0000	83.36647	0.0000
res3*res1	0.035769	5.633243	0.0000	38.30839	0.0000
res3*res2	0.046729	7.443960	0.0000	50.04662	0.0000
res4*res1	0.002952	0.449630	0.8708	3.161733	0.8696
res4*res2	0.002499	0.380381	0.9141	2.676000	0.9133
res4*res3	0.004776	0.728716	0.6477	5.114858	0.6459