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Residual Diagnostics

Evaluate model fit and performance

After you estimate a model, evaluate its fit by describing the statistical properties of the residuals. Such residual diagnostics helps determine whether model assumptions hold, such as an iid Gaussian innovation series.


Econometric ModelerAnalyze and model econometric time series


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inferInfer univariate ARIMA or ARIMAX model residuals or conditional variances
inferInfer residuals of univariate regression model with ARIMA time series errors
inferInfer conditional variances of conditional variance models
inferInfer vector autoregression model (VAR) innovations
inferInfer vector error-correction (VEC) model innovations
autocorrSample autocorrelation
parcorrSample partial autocorrelation
archtestEngle test for residual heteroscedasticity