Deriving VAR Residuals

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jti
Posts: 3
Joined: Fri Dec 12, 2008 10:45 am

Deriving VAR Residuals

Postby jti » Fri Dec 12, 2008 10:58 am

Hi,

I have a question, whether it is possible to derive the residual serieses of a VAR-Model. When I run a basic regression (e.g. simple AR-1), the residuals are automatically saved in the workfile's resid series, but running a VAR, this does not happen. Is it maybe because of the limited student's version I use?
I would like to use the residuals as a input data (innovations) in a systems regression (SUR-Model), so if it is not possible, to derive the residuals of the VAR and if there is a handy way to get the residuals, beside using single equation estimation procedures, I would be quite happy for another solution.

Many thanks in advance.

Kind Regards

EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: Deriving VAR Residuals

Postby EViews Gareth » Fri Dec 12, 2008 11:03 am

Proc->Make Resids
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jti
Posts: 3
Joined: Fri Dec 12, 2008 10:45 am

Re: Deriving VAR Residuals

Postby jti » Fri Dec 12, 2008 11:13 am

thanks for the quick reply post


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