Calculate residuals of the global model and the country models.
Usage
# S3 method for bgvar
residuals(object, ...)
# S3 method for bgvar
resid(object, ...)
Arguments
object
a fitted bgvar object.
...
other arguments.
Value
returns a list with the following arguments
global is a (T-p) times K times draws/thin array containing the residuals of the global model.
country is a (T-p) times K times draws/thin array containing the residuals of the country models.
Data is a (T-p) times K matrix containing the data of the model.
Details
This function calculates residuals of the global and the country models based on a bgvar object. Country models' residuals are equivalent to output generated by the print.bgvar function in case no trimming has been used. If trimming was invoked to discard unstable draws output of both functions might differ since print.bgvar calculates residuals as a running mean to save storage which is based on the whole set of posterior draws (including discarded draws). In this case it is recommended to recalculate the residuals with residuals.bgvar and re-do the serial autocorrelation or average pairwise cross-correlation analysis using functions resid.corr.test and avg.pair.cc.
# NOT RUN {library(BGVAR)
data(eerDatasmall)
model.ng <- bgvar(Data=eerDatasmall,W=W.trade0012.small,plag=1,draws=100,burnin=100)
resid(model.ng)
# }# NOT RUN {resid(model.ng)
# }