vars (version 1.6-1)

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 varest
residuals(object, ...)
# S3 method for 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

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

if (FALSE) {
data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
resid(var.2c)
}