Grocer Function
NAME
vare - residuals from a VAR estimation
CALLING SEQUENCE
[resid]=vare(y,nlag,x)
PARAMETERS
Input
-
y = an (nobs x neqs) matrix of y-vectors
-
nlag = the lag length
-
x = optional matrix of variables (nobs x nx)
-
(NOTE: constant vector automatically included)
Output
-
resid = matrix of residuals (nobs x neqs)
DESCRIPTION
Performs vector autogressive estimation and returns only residuals. Old function (but could be useful).
EXAMPLE
r=vare(y,2)
In this example, a VAR is estimated with 2 lags from a matrix of variables y.
AUTHOR
Eric Dubois 2002