residuals: Residuals method for objects of class varest and vec2var

Description Usage Arguments Author(s) References See Also Examples

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

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## 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.

See Also

VAR, vec2var

Examples

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

## End(Not run)

cheaton/vars2 documentation built on Oct. 1, 2018, 12:22 a.m.