IRIS Toolbox Reference Manual

## portest

Portmanteau test for autocorrelation in VAR residuals

#### Syntax

    [Stat,Crit] = portest(V,Data,H)

#### Input arguments

- `V` [ VAR | swar ] - Estimated VAR from which the tested residuals were obtained.

- `Data` [ tseries ] - VAR residuals, or VAR output data including residuals, to be tested for autocorrelation.

- `H` [ numeric ] - Test horizon; must be greater than the order of the tested VAR.

#### Output arguments

- `Stat` [ numeric ] - Portmanteau test statistic.

- `Crit` [ numeric ] - Portmanteau test critical value based on chi-square distribution.

#### Options

- `'level='` [ numeric | `0.05` ] - Requested significance level for computing the criterion `Crit`.

#### Description

#### Example

IRIS Toolbox. Copyright © 2007—2013 Jaromir Benes.