LM serial correlation test for VAR model
Posted: 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!!!