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Grocer >> VAR estimations > vare

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.

AUTHOR

Eric Dubois 2002

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