Search found 1 match
- Fri Aug 07, 2015 2:25 pm
- Forum: Econometric Discussions
- Topic: Residual autocorrelation in Bayesian VAR
- Replies: 2
- Views: 3474
Residual autocorrelation in Bayesian VAR
Hi guys, I conduct Bayesian VAR model to make conditional forecast. However, VAR Residual Portmanteau Tests for Autocorrelations shows that the residuals is correlated. I tried to add more variables and change the lag order, but it doesn't work. Can you please tell me how to overcome this problem? M...