Var model gives conditional or unconditional residual correl
Posted: 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?
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?