error autocorrelation
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error autocorrelation
Please I want to estimate a VAR model with 5 stationary variables but the residuals of the model are correlated. How can I do?

 Nonnormality and collinearity are NOT problems!
 Posts: 3584
 Joined: Wed Sep 17, 2008 2:25 pm
Re: error autocorrelation
Add more lags
Re: error autocorrelation
I have the same problem with all lags (2, 3, ..., 12). The 5 variables of my VAR model (dlog(tax revenue), dlog(public expenditure), log(real gdp), dlog(gdp deflator) and d(money market rate) are stationary; but the residuals of the model are autocorrelated (the probability of the Portmanteau Autocorrelation is "0" for all lags).

 Nonnormality and collinearity are NOT problems!
 Posts: 3584
 Joined: Wed Sep 17, 2008 2:25 pm
Re: error autocorrelation
Perhaps post your workfile, including the VAR equation.
Re: error autocorrelation
I have a missing variable. Thank you the problem is solved.
 Attachments

 workfile  Copie.wf1
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Last edited by lisa on Fri Oct 16, 2020 5:00 am, edited 1 time in total.

 Nonnormality and collinearity are NOT problems!
 Posts: 3584
 Joined: Wed Sep 17, 2008 2:25 pm
Re: error autocorrelation
In the workfile you only have 2 lags. What happens if you include several more?
Re: error autocorrelation
I have the same problem with more lags. I estimated the model with 4, 6, 7, 10 and 14 lags and I have the same problem of residual autocorrelation.

 Nonnormality and collinearity are NOT problems!
 Posts: 3584
 Joined: Wed Sep 17, 2008 2:25 pm
Re: error autocorrelation
You might try running separate OLS regressions. That at least would give an idea of which equations it is.
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