LM serial correlation test for VAR model

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engur
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Joined: Tue Mar 10, 2015 5:31 pm

LM serial correlation test for VAR model

Postby engur » Tue Mar 31, 2015 11:09 am

I am trying to find out if there is a serial correlation in my VAR model's residuals and got a bit confused. Lets suppose we are doing a LM test for VAR(4), and choosing 12 lags for LM test. Does every p value for every lag have to be larger than 0.05? or are we just looking for 4th lag as our VAR model is estimated in 4 lags ? I really need help about this test. Thanks in advance!!!

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