Deriving VAR Residuals
Posted: 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
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