Var model gives conditional or unconditional residual correl

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xaritomeni19
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Joined: Sun Jul 17, 2011 4:57 am

Var model gives conditional or unconditional residual correl

Postby xaritomeni19 » Sun Jul 17, 2011 5:37 am

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

Re: Var model gives conditional or unconditional residual co

Postby EViews Gareth » Mon Jul 18, 2011 7:51 am

I guess it depends on what you're doing.
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