Diagnostics | |||||||
Lag length | Portmanteau | VAR equation | Jarque-Bera | ||||
AIC | HQC | BIC | Tested order: 6 | Test stat | Skewness | Kurtosis | |
5 | 5 | 2 | 18.84 |
| 22.36 | 0.6832 | 4.7876 |
| 16.41 | −0.3099 | 4.8251 | ||||
VAR coefficients | |||||||
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| 0.404*** | 0.684*** | 0.167 | −0.313** | −0.186*** | 0.379*** | −0.173*** |
| −0.004 | 1.208*** | −0.097 | −0.325*** | −0.227*** | 0.119 | 0.042 |
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| T | C |
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| 0.004 | −0.944** |
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| 0.016*** | 1.746*** |
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