Create residual series.
Creates and saves residuals in the workfile from an estimated VAR.
Syntax
var_name.makeresids(options) [res1 res2 res3]
Follow the VAR name with a period and the makeresids keyword, then provide a list of names to be given to the stored residuals. You should provide as many names as there are equations. If there are fewer names than equations, EViews creates the extra residual series with names RESID01, RESID02, and so on. If you do not provide any names, EViews will also name the residuals RESID01, RESID02, and so on.
Options
struct | Compute structural residuals. |
method = arg | Structural residual method (if “struct” option is provided): unit impulses, ignoring correlations among the residuals (“imp=unit”), non-orthogonal, ignoring correlations among the residuals (“imp=nonort”), Cholesky with d.f. correction (“imp=chol”), Cholesky without d.f. correction (“imp=mlechol”), Generalized (“imp=gen”), structural (“imp=struct”), or user specified (“imp=user”). The structural factorization is based on the estimated structural VAR. To use this option, you must first estimate the structural decomposition; see
Var::svar. For user-specified weights, you must specify the name of the vector/matrix containing the impulses using the “fname=” option. |
n=arg | Create group object to hold the residual series. |
Examples
var macro_var.ls 1 4 y m1 r
macro_var.makeresids resay res_m1 riser
estimates an unrestricted VAR with four lags and endogenous variables Y, M1, and R, and stores the residuals as RES_Y, RES_M1, RES_R.
Cross-references
See
“Views and Procs of a VAR” for a discussion of views and procedures of a VAR.