Hi,
I am working on a VAR model with six variables. Now I want to estimate the corresponding residuals of each variable in the VAR and use the residuals in a Granger-causality test to test whether shocks in a variable Granger-cause another variable.
How can I extract the residuals of each variable?
Thanks for your help.
Extracting residuals in a VAR model
Moderators: EViews Gareth, EViews Moderator
Re: Extracting residuals in a VAR model
Code: Select all
var01.makeresids
Re: Extracting residuals in a VAR model
Many thanks. It works well.
One last question: The header of the columns do not show the names of the variables but RESID01, RESID02 etc. Can I somehow attribute the variable names to the columns of residuals? Which variable is the header RESID01 or RESID02 referring to?
One last question: The header of the columns do not show the names of the variables but RESID01, RESID02 etc. Can I somehow attribute the variable names to the columns of residuals? Which variable is the header RESID01 or RESID02 referring to?
Re: Extracting residuals in a VAR model
Code: Select all
var var01.ls 1 4 y1 y2 y3
var01.makeresids ry1 ry2 ry3
resid01 (ry1) corresponds to first variable (y1) of VAR Model.
resid02 (ry2) corresponds to second variable (y2) of VAR Model. So on.
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