Hello everyone, I am having trouble with the recovery of the residuals in a VAR model. If if do it though the GUI everything is ok, but if I try to do it through a code, then I can only recover the residuals (as a time series) of the first equation, but for the remaining equations, I can only get them as a matrix. Here is this simple example code: open np.gdt var 2 rgnp emply interest --robust series Resid1=$uhat[,1] # This one works perfectly series Resid2=$uhat[,2] # This one does not; mismatch between series and matrix this is probably a rookie's mistake, but I cannot see where the problem is.

On Tue, 13 Oct 2020, Daniel Ventosa-Santaulària wrote: > Hello everyone, > I am having trouble with the recovery of the residuals in a VAR model. If > if do it though the GUI everything is ok, but if I try to do it through a > code, then I can only recover the residuals (as a time series) of the > first equation, but for the remaining equations, I can only get them as a > matrix. Here is this simple example code: > > open np.gdt > var 2 rgnp emply interest --robust > series Resid1=$uhat[,1] # This one works perfectly > series Resid2=$uhat[,2] # This one does not; mismatch between series and > matrix > > this is probably a rookie's mistake, but I cannot see where the problem is. It seems like this ought to work, I need to take a closer look. But you can extract the other columns of $uhat as series if you set the sample range to start at the first observation used by the VAR: smpl 1911 ; series Resid1=$uhat[,1] series Resid2=$uhat[,2]