Hi ,
I am estimating the var model with two endogenous and two exogenous variables with five lags.I want to compute the residual correlation matrix.However, I can not tell if these correlations that I find are the conditional correlation or the unconditional?
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- Sun Jul 17, 2011 5:37 am
- Forum: Estimation
- Topic: Var model gives conditional or unconditional residual correl
- Replies: 1
- Views: 1915