VAR Residual Heteroskedasticity Tests: No Cross Terms (only levels and squares)

Sample: 1981Q1 2014Q4

Included observations: 130

Joint test:

Chi-sq

df

Prob.

980.7803

750

0.0000

Individual components:

Dependent

R-squared

F(50,79)

Prob.

Chi-sq(50)

Prob.

res1 * res1

0.618032

2.556470

0.0001

80.34414

0.0042

res2 * res2

0.630329

2.694069

0.0000

81.94275

0.0029

res3 * res3

0.284236

0.627431

0.9607

36.95067

0.9149

res4 * res4

0.151412

0.281916

1.0000

19.68350

1.0000

res5 * res5

0.292719

0.653906

0.9457

38.05343

0.8921

res2 * res1

0.615710

2.531480

0.0001

80.04232

0.0044

res3 * res1

0.383275

0.981921

0.5207

49.82578

0.4803

res3 * res2

0.372371

0.937411

0.5918

48.40822

0.5374

res4 * res1

0.742581

4.557859

0.0000

96.53556

0.0001

res4 * res2

0.231532

0.476039

0.9972

30.09918

0.9884

res4 * res3

0.178368

0.343002

1.0000

23.18785

0.9996

res5 * res1

0.437207

1.227425

0.2052

56.83687

0.2355

res5 * res2

0.401516

1.060003

0.4025

52.19707

0.3886

res5 * res3

0.322928

0.753579

0.8577

41.98069

0.7828

res5 * res4

0.178430

0.343148

1.0000

23.19595

0.9996