Autocorrelation in VAR

[leybert]

Hello,

do you know how the LM autocorrelation is interpreted for a VAR ( if for the lag used in the model, for instance VAR(2), there is no autocorrelation, then it is fine even if the test is done for 12 lags for example?

Also, how can one correct the autocorrelation for a VAR?

[leybert]

Guys, any news on that?

Thanks