Residual correlation matrix.
Displays the correlations of the residuals from each equation in the var object.
Note that for Bayesian VARs, this command will display the empirical residual correlation—the correlation of the residuals calculated from the posterior means of the coefficients.
Syntax
var_name.residcor(options)
Options
p | Print the correlation matrix. |
Examples
var1.residcor
displays the residual correlation matrix of VAR1.
Cross-references