EViews.com

Posted: **Wed Aug 25, 2010 3:05 pm**

I get different results switching between Eviews 7 and Eviews 6 for the portmanteau test for autocorrelation in VAR model.
Note that the difference is situated in the degrees of freedom and following the probability levels. All the other values are identical.
Can anyone explain the difference ? More importantly which version is correct cause I'm preparing an exam.
(My university offers both through VPN. My teammate used eviews6 I used eviews7 and this is how I noticed the difference.)

Eviews 6:

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VAR Residual Portmanteau Tests for Autocorrelations					
Null Hypothesis: no residual autocorrelations up to lag h					
Date: 08/25/10   Time: 23:56					
Sample: 1959Q1 1992Q1					
Included observations: 130					
					
Lags	Q-Stat	Prob.	Adj Q-Stat	Prob.	df
					
1	 0.137890	NA*	 0.138959	NA*	NA*
2	 1.219885	NA*	 1.237860	NA*	NA*
3	 8.480223	 0.4866	 8.669702	 0.4683	9
4	 23.83237	 0.1606	 24.50922	 0.1390	18
5	 41.92226	 0.0335	 43.32271	 0.0243	27
6	 52.70800	 0.0357	 54.63033	 0.0240	36
7	 60.38041	 0.0624	 62.73939	 0.0412	45
8	 76.65813	 0.0230	 80.08450	 0.0121	54
9	 83.77851	 0.0411	 87.73450	 0.0214	63
10	 89.99748	 0.0742	 94.47171	 0.0391	72
11	 93.35951	 0.1642	 98.14452	 0.0945	81
12	 95.71260	 0.3204	 100.7369	 0.2062	90
					
*The test is valid only for lags larger than the VAR lag order.					
df is degrees of freedom for (approximate) chi-square distribution

Eviews7

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VAR Residual Portmanteau Tests for Autocorrelations					
Null Hypothesis: no residual autocorrelations up to lag h					
Date: 08/25/10   Time: 23:54					
Sample: 1959Q1 1992Q1					
Included observations: 130					
					
Lags	Q-Stat	Prob.	Adj Q-Stat	Prob.	df
					
1	 0.137890	NA*	 0.138959	NA*	NA*
2	 1.219885	NA*	 1.237860	NA*	NA*
3	 8.480223	 0.9333	 8.669702	 0.9264	16
4	 23.83237	 0.5291	 24.50922	 0.4901	25
5	 41.92226	 0.1649	 43.32271	 0.1313	34
6	 52.70800	 0.1474	 54.63033	 0.1100	43
7	 60.38041	 0.1988	 62.73939	 0.1463	52
8	 76.65813	 0.0852	 80.08450	 0.0512	61
9	 83.77851	 0.1248	 87.73450	 0.0744	70
10	 89.99748	 0.1868	 94.47171	 0.1130	79
11	 93.35951	 0.3278	 98.14452	 0.2157	88
12	 95.71260	 0.5179	 100.7369	 0.3773	97

*The test is valid only for lags larger than the VAR lag order.					
df is degrees of freedom for (approximate) chi-square distribution

Posted: **Wed Aug 25, 2010 3:19 pm**

There was a bug in the DF calculation in early versions of EViews 6. Thus it isn't a difference between EViews 7 and EViews 6 per se, rather it is just the case that your copy of EViews 6 is not up-to-date.

The EViews 7 results should be correct.

Posted: **Wed Aug 25, 2010 3:48 pm**

Thanks for your swift response.

Posted: **Wed Aug 25, 2010 4:15 pm**

Actually, I have an additional question.

The residual serial correlation LM test for VAR tests about the same right? That there is no autocorrelation left in your residuals.

How come, if Eviews7 calculates the correct amount of degrees of freedom that it is actually the Eviews 6 output that is more in line with the LM results ?
These are the LM test results for the same VAR(0) regression. One would conclude that there might be some autocorrelation left. This is in line with the Eviews6 probabilities of the Q statistic and not the Eviews7 results.
Can you explain this? I don't know the exact differences in these two tests (Q versus LM) since the course is about being able to produce and interpret output rather than the technical statistical details at the base of these results... so maybe I'm confused over nothing.
Any insights are sincerely appreciated.

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VAR Residual Serial Correlation LM Tests		
Null Hypothesis: no serial correlation at lag order h		
Date: 08/26/10   Time: 01:07		
Sample: 1959Q1 1992Q1		
Included observations: 132		
		
Lags	LM-Stat	Prob
		
1	 21.60942	 0.0102
2	 5.031123	 0.8316
3	 4.417986	 0.8818
4	 18.08444	 0.0342
5	 15.04170	 0.0898
6	 12.77500	 0.1731
7	 8.602617	 0.4747
8	 15.78411	 0.0715
9	 7.472913	 0.5880
10	 6.544042	 0.6845
11	 6.016431	 0.7383
12	 4.569485	 0.8701
		
Probs from chi-square with 9 df.

EViews.com

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