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error autocorrelation
Posted: Mon Oct 12, 2020 1:43 am
by lisa
Please I want to estimate a VAR model with 5 stationary variables but the residuals of the model are correlated. How can I do?
Re: error autocorrelation
Posted: Mon Oct 12, 2020 6:20 am
by startz
Add more lags
Re: error autocorrelation
Posted: Thu Oct 15, 2020 10:20 am
by lisa
I have the same problem with all lags (2, 3, ..., 12). The 5 variables of my VAR model (dlog(tax revenue), dlog(public expenditure), log(real gdp), dlog(gdp deflator) and d(money market rate) are stationary; but the residuals of the model are autocorrelated (the probability of the Portmanteau Autocorrelation is "0" for all lags).
Re: error autocorrelation
Posted: Thu Oct 15, 2020 10:58 am
by startz
Perhaps post your workfile, including the VAR equation.
Re: error autocorrelation
Posted: Thu Oct 15, 2020 11:45 am
by lisa
I have a missing variable. Thank you the problem is solved.
Re: error autocorrelation
Posted: Thu Oct 15, 2020 12:21 pm
by startz
In the workfile you only have 2 lags. What happens if you include several more?
Re: error autocorrelation
Posted: Thu Oct 15, 2020 12:26 pm
by lisa
I have the same problem with more lags. I estimated the model with 4, 6, 7, 10 and 14 lags and I have the same problem of residual autocorrelation.
Re: error autocorrelation
Posted: Thu Oct 15, 2020 1:00 pm
by startz
You might try running separate OLS regressions. That at least would give an idea of which equations it is.