This is a second assignment on the analysis of Vector Autoregressions. To answer the questions, first download the software containing the MATLAB code you will need to run. The main directory is in the zip file, main.zip. Extract that to a subdirectory. You will also need to download two other sets of code, some model-solving code, and the Andersen-Moore code. Extract these latter two sets of code into separate directories. Then, go into the file, setpath.m, in the code taken from main.zip and replace the two lines of code there with the addresses of the locations of the model-solving code and the Andersen-Moore code (you could place all code in the same directory, in which case the lines in setup.m could simply be deleted).

The writeups on the multivariate Q statistic and on the lag length selection statistics are useful.