vars (version 1.5-3)

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.

References

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

L<U+34AE5C2F>hl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.

See Also

VAR, vec2var

Examples

# NOT RUN {
data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
resid(var.2c)
# }