VAR model Diagnostics
Posted: Wed Sep 27, 2023 7:42 am
Good day,
I am conducting an estimation of the local projection (LP) method in EViews. Before I can do that, I have to estimate a VAR model. I want to ensure that the model I am using for the LP estimation is diagnostically sound. Is there a technique one can use to get the model to be normal, homoskedastic, and free of autocorrelation?
Thanks
I am conducting an estimation of the local projection (LP) method in EViews. Before I can do that, I have to estimate a VAR model. I want to ensure that the model I am using for the LP estimation is diagnostically sound. Is there a technique one can use to get the model to be normal, homoskedastic, and free of autocorrelation?
Thanks