VAR Residual Heteroskedasticity Tests: No Cross Terms (only levels and squares) Sample: 1981Q1 2014Q4 Included observations: 130 | |||||
Joint test: |
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Chi-sq | df | Prob. |
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980.7803 | 750 | 0.0000 |
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Individual components: |
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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 |