Hi everyone,
when estimating my VAR, the White test with and without cross terms give contradictory results.
Here are my tables:
Including Cross terms:
VAR Residual Heteroskedasticity Tests (Includes Cross Terms)
Date: 09/19/19 Time: 11:55
Sample: 2006M03 2019M03
Included observations: 144
Joint test:
Chi-sq df Prob.
426.3940 405 0.2230
Individual components:
Dependent R-squared F(135,8) Prob. Chi-sq(135) Prob.
res1*res1 0.987047 4.515857 0.0134 142.1348 0.3202
res2*res2 0.981139 3.082676 0.0445 141.2841 0.3383
res2*res1 0.994861 11.47309 0.0005 143.2601 0.2970
No cross terms:
VAR Residual Heteroskedasticity Tests (Levels and Squares)
Date: 09/19/19 Time: 12:03
Sample: 2006M03 2019M03
Included observations: 144
Joint test:
Chi-sq df Prob.
199.1152 90 0.0000
Individual components:
Dependent R-squared F(30,113) Prob. Chi-sq(30) Prob.
res1*res1 0.485044 3.547876 0.0000 69.84636 0.0001
res2*res2 0.558858 4.771787 0.0000 80.47562 0.0000
res2*res1 0.377138 2.280689 0.0010 54.30791 0.0042
Can anybody help with interpretation or how to proceed? Can I assume I have no heteroskedasticity and continue?
Best,
Franziska
White test with and without cross terms
Moderators: EViews Gareth, EViews Moderator
Re: White test with and without cross terms
Also, when exchanging some variables, I get the error message with cross terms saying: "Positive or non-negative argument to function expected". Can somebody tell me what that means?
Thanks a lot!
Thanks a lot!
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