Hi all,
I estimated a VAR model using the standard var-command and want to run a
function called varmodtest afterwards. The function simply exploits the
"modtest" command and merges different specification test results into a
matrix which is passed back.
<hansl>
function matrix varmodtest (scalar order "Lag length")
#Serial correlation
modtest order --autocorr --quiet
matrix OUTSC = $pvalue' | $test'
return OUTSC
end function
var 2 LRM IBO
matrix A = varmodtest(4)
<\hansl>
But I obtain the error:
"Can't do this: no model has been estimated yet
Data error
*** error in function varmodtest"
How can the function grab information from the previous VAR estimation?
Thanks in advance!
Artur