Name

vare — residuals from a VAR estimation

CALLING SEQUENCE

[resid]=vare(y,nlag,x)

PARAMETERS

Input

• y = an (nobs x neqs) matrix of y-vectors

• nlag = the lag length

• x = optional matrix of variables (nobs x nx)

• (NOTE: constant vector automatically included)

Output

• resid = matrix of residuals (nobs x neqs)

DESCRIPTION

Performs vector autogressive estimation and returns only residuals. Old function (but could be useful).

EXAMPLE

r=vare(y,2)
 
In this example, a VAR is estimated with 2 lags from a matrix of variables y. 

               

AUTHOR

Eric Dubois 2002