Equation using VAR residuals

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aisling
Posts: 6
Joined: Wed Jul 13, 2011 4:29 am

Equation using VAR residuals

Postby aisling » Sat Jul 16, 2011 4:29 am

Hi

I have ran a VAR(5) model and have generated the variance/covariance matrix of the residuals. However I now need use these the variances and covariances in an equation. How can I do this?

Any help would be greatly appreciated

Many thanks,
Aisling
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13604
Joined: Tue Sep 16, 2008 5:38 pm

Re: Equation using VAR residuals

Postby EViews Gareth » Mon Jul 18, 2011 7:49 am

I'm not 100% certain I understand what you mean by that. In general you cannot use matrices inside estimation objects in EViews.
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