vars: residuals – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

residuals

Residuals method for objects of class varest and vec2var

Description

Returns the residuals of a VAR(p)-model or for a VECM in levels. For the former class the residuals-method is applied to the list element varresult, which is itself a list of lm-objects.

Usage

## S3 method for class 'varest'
residuals(object, ...)
## S3 method for class 'vec2var'
residuals(object, ...)

Arguments

`object`	An object of class ‘`varest`’; generated by `VAR()`, or an object of class ‘`vec2var`’; generated by `vec2var()`
`...`	Currently not used.

Author(s)

Bernhard Pfaff

References

Hamilton, J. (1994), Time Series Analysis, Princeton University Press, Princeton.

Lütkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.

Examples

## Not run: 
data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
resid(var.2c)

## End(Not run)

vars

VAR Modelling

v1.5-3

GPL (>= 2)

Authors

Bernhard Pfaff [aut, cre], Matthieu Stigler [ctb]

Initial release

2018-08-05