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Likelihood Ratio test for VAR model

Carol
2013-06-08
2013-06-22
  • Carol
    Carol
    2013-06-08

    Hi,
    I am doing a VAR model in JMulTi and I wanted to know how to do a likelihood ratio test to determine if I leave out one variable from the VAR, if the model is better off.
    I searched the JMulTi help browser and I also tried to see if there is any option in the software to do this when running a VAR (not a SVAR) but I did not get anything.

    Can some please let me know if it is possible to do a likelihood ratio test on a VAR model in JMulTi? Thanks.

     
  • Manny
    Manny
    2013-06-10

     
    Last edit: Manny 2013-06-10
  • Carol
    Carol
    2013-06-22

    Thanks for bringing this to my attention Manny.

    Can one of the moderators or someone who can assist please provide us with any advice on the likelihood ratio test? Thanks.