Diagnostic checking for multivariate state space models
Posted: Fri Oct 30, 2015 7:27 pm
Hi,
i'm using EViews Version 8.
Is it possible, to conduct multivariate diagnostic checking for multivariate state space models in a similar fashion to vector autoregressions?
In other words, can i use the multivariate portmanteau test or the multivariate jarque bera test after estimation of a multivariate state space model?
Do you have some idea?
Thank you in advance.
Best regards
Yohan
i'm using EViews Version 8.
Is it possible, to conduct multivariate diagnostic checking for multivariate state space models in a similar fashion to vector autoregressions?
In other words, can i use the multivariate portmanteau test or the multivariate jarque bera test after estimation of a multivariate state space model?
Do you have some idea?
Thank you in advance.
Best regards
Yohan