Tests for normality, autocorrelation and heteroskedasticity
| Ho | Model 1 | Model 2 | Model 3 | Model 4 | |
|---|---|---|---|---|---|
| VEC residual Normality tests | Residuals are multivariate normal | 0.505 (0.873) | 0.032 (0.926) | 0.017 (0.895) | 0.072 (0.787) |
| VEC residual serial correlation LM test | No serial correlation at lag order h | 2.711 (0.974) | 1.112 (0.341) | 0.415 (0.411) | 1.377 (0.240) |
| VEC residual heteroskedasticity | Residual are homoskedastic | 1.320 (0.381) | 1.591 (0.207) | 1.047 (0.306) | 0.790 (0.373) |
| Model 1 | Model 2 | Model 3 | Model 4 | ||
|---|---|---|---|---|---|
| VEC residual Normality tests | Residuals are multivariate normal | 0.505 (0.873) | 0.032 (0.926) | 0.017 (0.895) | 0.072 (0.787) |
| VEC residual serial correlation LM test | No serial correlation at lag order | 2.711 (0.974) | 1.112 (0.341) | 0.415 (0.411) | 1.377 (0.240) |
| VEC residual heteroskedasticity | Residual are homoskedastic | 1.320 (0.381) | 1.591 (0.207) | 1.047 (0.306) | 0.790 (0.373) |
Note(s): Parentheses contain the p-values of the test statistics