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