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
load(GROCERDIR+'/data/lutk1.dat')
bounds()
y=explone(['log(rfa_inv)';'log(rfa_inc)';'log(rfa_cons)')
trend=[1:size(y,1)]'
resid=vare(y,2,x)
// In this example, residuals from a VAR estimated with 2 lags, a trend and a constant as exogenous variables are calculated.